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IPO Lock-up expirations; An empirical study on the Nordic market during 2009-2016

van Enst, Oskar LU and Forsberg, Erika LU (2017) BUSN79 20171
Department of Business Administration
Abstract
Purpose: The purpose of this study is to investigate whether abnormal returns can be
observed in stock prices after the expiration of lock-up periods related to an IPO. In addition,
the purpose is to analyse if private equity/venture capital (PEVC) ownership, the use of
staggered lock-ups and the length of lock-up periods affect this return.
Methodology: This event study examines how the market reacts around the expiration of
IPO lock-up periods by using the market model. A multiple regression analysis was
conducted where the dependent variable (cumulative abnormal return) was regressed on IPO
characteristics specific variables.
Theoretical perspectives: This dissertation is testing whether the semi-strong form of the
efficient... (More)
Purpose: The purpose of this study is to investigate whether abnormal returns can be
observed in stock prices after the expiration of lock-up periods related to an IPO. In addition,
the purpose is to analyse if private equity/venture capital (PEVC) ownership, the use of
staggered lock-ups and the length of lock-up periods affect this return.
Methodology: This event study examines how the market reacts around the expiration of
IPO lock-up periods by using the market model. A multiple regression analysis was
conducted where the dependent variable (cumulative abnormal return) was regressed on IPO
characteristics specific variables.
Theoretical perspectives: This dissertation is testing whether the semi-strong form of the
efficient market hypothesis holds. In addition, theories regarding a downward sloping
demand curve, costly arbitrage opportunities, information asymmetry and signalling theory
are used to analyse the results.
Empirical foundation: The sample consists of companies completing IPOs on Nasdaq OMX
Nordic and Oslo Børs during 2009-2016, on the main market lists. Data were obtained from
the databases Zephyr, Bloomberg Terminal and DataStream.
Conclusions: The study provides new evidence for the Nordic market and concludes that
abnormal returns exist around the expiration for lock-up periods with an observed significant
abnormal return of -0.72%. The result shows evidence against the semi-strong form of the
efficient market hypothesis and could potentially support a downward sloping demand curve
and theories regarding information asymmetry between pre- and post-IPO owners and costly
arbitrage opportunities. The study did not find any statistically significant evidence
supporting that IPO characteristics in terms of PEVC-backing, staggered IPOs or the lock-up
period length affects this abnormal return. (Less)
Please use this url to cite or link to this publication:
author
van Enst, Oskar LU and Forsberg, Erika LU
supervisor
organization
course
BUSN79 20171
year
type
H1 - Master's Degree (One Year)
subject
keywords
IPO, Lock-up periods, abnormal returns, efficient market hypothesis, PEVCownership
language
English
id
8922596
date added to LUP
2017-09-08 13:12:45
date last changed
2017-09-08 13:12:45
@misc{8922596,
  abstract     = {{Purpose: The purpose of this study is to investigate whether abnormal returns can be
observed in stock prices after the expiration of lock-up periods related to an IPO. In addition,
the purpose is to analyse if private equity/venture capital (PEVC) ownership, the use of
staggered lock-ups and the length of lock-up periods affect this return.
Methodology: This event study examines how the market reacts around the expiration of
IPO lock-up periods by using the market model. A multiple regression analysis was
conducted where the dependent variable (cumulative abnormal return) was regressed on IPO
characteristics specific variables.
Theoretical perspectives: This dissertation is testing whether the semi-strong form of the
efficient market hypothesis holds. In addition, theories regarding a downward sloping
demand curve, costly arbitrage opportunities, information asymmetry and signalling theory
are used to analyse the results.
Empirical foundation: The sample consists of companies completing IPOs on Nasdaq OMX
Nordic and Oslo Børs during 2009-2016, on the main market lists. Data were obtained from
the databases Zephyr, Bloomberg Terminal and DataStream.
Conclusions: The study provides new evidence for the Nordic market and concludes that
abnormal returns exist around the expiration for lock-up periods with an observed significant
abnormal return of -0.72%. The result shows evidence against the semi-strong form of the
efficient market hypothesis and could potentially support a downward sloping demand curve
and theories regarding information asymmetry between pre- and post-IPO owners and costly
arbitrage opportunities. The study did not find any statistically significant evidence
supporting that IPO characteristics in terms of PEVC-backing, staggered IPOs or the lock-up
period length affects this abnormal return.}},
  author       = {{van Enst, Oskar and Forsberg, Erika}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{IPO Lock-up expirations; An empirical study on the Nordic market during 2009-2016}},
  year         = {{2017}},
}