| IPO Lock-ups and Underpricing |
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Jin Ho Byun, Seong Soon Cho |
| IPO 락업 제도가 저가발행현상에 미치는 영향 |
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변진호, 조성순 |
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| Abstract |
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This paper examines the effects of IPO lock-ups on underpricing by analyzing investors` initial heterogeneous beliefs and the weight of lock-up shares. In this paper, we investigate a theory based on Hong, Scheinkman, and Xiong (2006) in which they suggested if investors` optimistic beliefs due to overconfidence dominate market, positive abnormal returns do occur in proportion to weight of lock-up shares. Our empirical results are as follows. First, the result is consistent with hypothesis that the more investors` beliefs are heterogeneous, the more underpricing is likely to occur. We can also find that as the difference between book-building price and expected offer price gets bigger, underpricing tends to get larger as well. Second, we find that underpricing increases as the weight of lock-up shares increase. This result shows that limited tradable shares due to lock-up, investors` overconfidence can dominate IPO market more easily and lead to larger abnormal return. Lastly, the study cannot find significant negative abnormal return before and after 10 days from lock-up expiration date. However, we find significant negative abnormal return during the days between 28th and 10th prior to lock-up expiration date. We conjecture that market response before lock-up expiration date because the information on lock-up expiration is already disclosed publicly. |
| Key Words:
과잉확신,락업,예치율,저가발행,코스닥 매각제한,Kosdaq Lockup,Lock-up,Overconfidence,Underpricing,Weight of Lock-up Shares |
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