麻豆淫院

(麻豆淫院Org.com) -- Will stock in Facebook, which recently filed for initial public offering (IPO), drop significantly following the end of its IPO lock-up period later this year? It might if the company follows recent trends, finds a new study by graduate students at Washington University in St. Louis.

Written by Borge Klungerbo, Sam Poteat and Jonathan Woo, students in Olin Business School鈥檚 masters of science in finance program, the new paper, 鈥淎 Persistent Anomaly,鈥� finds that negative abnormal returns follow the expiration of IPO share lock-up periods.

An IPO lock-up is a contractual caveat referring to a period of time after a company has initially gone public, usually between 90 to 180 days. During these initial days of trading, company insiders or those holding majority stakes in the company are forbidden to sell any of their shares.

Once Facebook鈥檚 lock-up period ends later this year most trading restrictions will be removed.

The lock-up is done to prevent the market from being flooded with too much supply of a company鈥檚 stock too quickly.

鈥淚n class we鈥檙e always taught markets are efficient and that anomalies, should they exist, disappear quickly,鈥� Woo says. 鈥淥ur research shows differently. More research needs to be performed to see if people can make money from the strategy because if not, then the anomaly would persist.鈥�

The paper won first prize in the recent Indian Institute of Management鈥揂hmedabad student research competition. It can be found on page 114 of the school鈥檚 publication .

The paper attempts to expand the extensive research surrounding the IPO lock-up anomaly and finds that companies that experience negative returns during the lock-up period experience greater negative abnormal returns following the lock-up period鈥檚 expiration.

In addition, the students find high beta companies experience a greater negative abnormal return than low beta stocks after the lock-up periods. Beta is a measure of a stock鈥檚 volatility.

鈥淚n November, we noticed LinkedIn鈥檚 IPO expiration period was coming up, and we joked we should short it because all the insiders were going to sell their shares,鈥� Woo says. 鈥淎s it turned out, on the expiration day LinkedIn鈥檚 share price dropped 2.8 percent.

鈥淲e were intrigued,鈥� Woo says. 鈥淏orge (Klungerbo) gathered a small sample of data and ran some simple regressions and found there was a negative abnormal return. We decided to pursue it and see if the results held for a larger sample.鈥�

While there are many academic studies on the subject, none has been able to pinpoint a singular cause of the abnormal returns, Woo says.

鈥淲e also learned in class that once a strategy to earn abnormal returns is made public it is usually arbitraged away by market participants fairly quickly,鈥� he says. 鈥淲e wanted to see if the abnormal returns persisted because the last major study was performed in 2001.鈥�

鈥淥nce we found out the result still held true today, we wanted to expand the literature to see which companies were more likely to have greater negative abnormal returns.鈥�

Poteat says he was amazed that this anomaly still persists even 11 years after a major study was conducted on the topic.

Klungerbo agrees.

鈥淚 think the most important finding of our paper is that we were able to characterize what IPOs are most likely to return a higher negative alpha at expiry,鈥� says Klungerbo. 鈥淔rom our results we saw that it might not be very significant to look at all IPOs like previous papers have done, but to look at IPOs that have experienced a significant negative return during the expiration period.鈥�