Journal of Banking and Finance ·Volume 88, MAR 2018

IPO股票限售解禁前后的卖空行为

作者：Michael Gibbs (Grace) (Department of Finance, California State University)

Qing Hao (Department of Finance and Real Estate, University of Texas at Arlington)

摘要：我们首次检验了IPO股票限售解禁前后的日度卖空活动。我们发现，在限售期到期日之前卖空增加，在到期日之后卖空下降，风险资本（VC）和私募股权（PE）支持的IPO的股票的卖空水平高于其他IPO。与VC支持的IPO股票不同，PE支持的IPO股票在限售期到期日没有经历负回报或交易量上涨。PE投资者不会像VC投资者那样在限售解禁后减少IPO公司的所有权。在限售期到期日之前，PE和VC支持的IPO股票的卖空可以预测PE和VC所有权的减少，但不能预测限售解禁后的股票收益。相反，没有PE或VC投资者的IPO公司的股票卖空可以预测限售解禁后的股票收益。

关键词：卖空；首次公开发行；股票限售解禁；风险投资；反向杠杆收购；私募股权投资

Short selling around the expiration of IPO share lockups

Michael Gibbs (Grace)(Department of Finance, California State University) Qing Hao(Department of Finance and Real Estate, University of Texas at Arlington)

ABSTRACT

We are the first to examine daily short selling activity around the expiration of IPO share lockups. We find that short selling increases before the lockup expiration date and declines afterward, and the level of short selling is higher in stocks of venture capital (VC)- and private equity (PE)-backed IPOs than other IPOs. Unlike VC-backed IPO stocks, PE-backed IPO stocks do not experience a negative return or a trading volume jump on the lockup expiration date. PE investors do not reduce percentage ownership in the IPO firm as much as VC investors do after lockup expirations. Short selling in PE- and VC-backed IPO stocks prior to the lockup expiration date can predict PE and VC ownership reduction but not the stock returns after the lockup expires. In contrast, short selling in stocks of the IPO firms without a PE or VC investor can predict stock returns after the lockup expires.

Keywords: Short sales; Initial public offerings (IPOs); Share lockup expiration; Venture capital (VC); Reverse leveraged buyout (RLBO); Private equity (PE)

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426617302339

翻译：张展