Krishnamurti, Chandrasekhar and Subrahmanyam, Avanidhar and Thong, Tiong Yang (2009) Can liquidity shifts explain the lockup expiration effect in stock returns? In: EFA 2009: European Finance Association (Bergen Meeting), 19-27 Aug 2009, Bergen, Norway.
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Several studies on the expiration of IPO lockups document a strong negative reaction even though the unlock event is devoid of any informational content. The empirical finding has remained a conundrum. In this paper, we find that changes in liquidity can account for the observed stock price reaction around lockup expiration. Specifically, firms which show improvement in liquidity subsequent to the unlock day experience positive abnormal returns in the post-expiration period, and vice versa. Another interesting conclusion that emerges from our research is that liquidity changes can predict future abnormal returns. Our results remain robust to the use of alternate procedures to characterize unexpected changes in liquidity.
|Item Type:||Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)|
|Additional Information:||No evidence of copyright restrictions preventing deposit. Detailed program at http://www.efa2009.org/webyep-system/program/download.php?FILENAME=32-3-at-Vedlegg.pdf&ORG_FILENAME=EFA2009PrintedProgram.pdf|
|Uncontrolled Keywords:||lockup expiration; illiquidity; share prices|
|Depositing User:||Professor Chandrasekhar Krishnamurti|
|Date Deposited:||03 Jan 2011 08:50|
|Last Modified:||02 Jul 2013 23:38|
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