Transcript 下載/瀏覽Download

The Expiration of IPO Share Lockups
LAURA CASARES FIELD and GORDON HANKA
Presented by M9880105 梁雅珺
M9880202 陳芊蘋
M9880206 劉書汎
Introduction
• Share Lockups
• The typical lockup lasts for 180 days
• When lockups expire, we find a permanent 40
percent increase in average trading volume
and a statistically prominent three-day
abnormal return of -1.5 percent
• Venture Capital effect
• Information asymmetry
Flowchart
I. Data and Methods
II. Results
III. Hypotheses
IV. Ownership Changes
after the IPO
V. Reported Insider Sales
Before the Unlock Day
VI. Conclusion
I. Data and Methods
• (A). The sample
• Writer use information from Securities Data
Corporation (SDC) to identify our sample of
initial public offerings(IPO).
• This paper examine three variables:
1.the number of shares offered
2.the length of the lockup period
3.and the number of shares locked up.
I. Data and Methods
• (B). Summary Statistics
• Table I
I. Data and Methods
• (B). Summary Statistics
• Figure 1
I. Data and Methods
• (C)Calculation of Abnormal Returns
I. Data and Methods
• (D) Calculation of Abnormal Volume
II. Results
• (A). Abnormal Returns Around the Unlock Day
• Figure 2
II. Results
• (A). Abnormal Returns Around the Unlock Day
• Table II
II. Results
• (B). Abnormal Trading Volume Around the
Unlock Day
• Figure 3
II. Results
• (C). Cross-sectional Determinants of the
Abnormal Volume and Return
• Venture Financing：
• Among the venture-financed firms, the threeday abnormal return is almost three times
larger than non-venture-financed firms and
the three-day abnormal volume is five times
higher 75 percent above normal rather than
15 percent.
II. Results
• (C). Cross-sectional Determinants of the
Abnormal Volume and Return
• Robustness Checks：
• Is This a Day 180 Effect?
• observing a “Lockup” effect, rather than a
“Day 180” effect
II. Results
• (C). Cross-sectional Determinants of the
Abnormal Volume and Return
• Table III
III. Hypotheses
• (A). An Increase in the Proportion of Trades at
the Bid
• Figure 4
III. Hypotheses
• (B). Price Pressure
Figure 2
Figure 4
III. Hypotheses
• (C). Trading Costs
• Figure 5
III. Hypotheses
• (D). Downward-Sloping Demand Curves
• A demand curve effect is caused by a permanent
increase in the stock of shares that must be
owned by the public, whereas a price pressure
effect is caused by a temporary flow of sell orders.
• (E). Worse-than-Expected Insider Sales
• Conclude that the abnormal return is probably
not driven solely by worse-than-expected insider
sales.
IV. Ownership Changes after the IPO
• Table 6
V. Reported Insider Sales Before the
Unlock Day
• Here provide evidence on the frequency of
early release：
• if the stock price is high relative to the offer
price, and trading volume is not too thin, the
underwriter will occasionally grant small,
partial early release to executives who need
cash for personal reasons.
VI. Conclusion
• Insider sales tend to convey bad news ,
permanent 40 percent increase in trading
volume and a statistically prominent three-day
abnormal return of -1.5 percent.