IPO Pricing,Block Sales,and Long‐Term Performance

Block sales following IPOs are related to the IPOs' value relative to an estimate of intrinsic value, opening‐trade return, and IPO size. Overvalued IPOs experience more block sales than undervalued IPOs. IPOs with high block sales outperform IPOs with low block sales from 20 days after IPO through lockup expiration; however, IPOs with high block sales underperform IPOs with low block sales from lockup expiration through the third year after the IPO. The results indicate that block traders are advantaged relative to other traders; whether the advantage is based on superior information or superior valuation capabilities is unknown.     

The Choice and Role of Lockups in IPOs: Evidence from Heterogeneous Lockup Agreements

This paper analyses heterogeneous lockup agreements from the London Stock Market. With hand‐collected data, I compare and contrast absolute‐date lockups with the relative‐date lockups and single lockups versus staggered lockups. This paper tests several potential explanations for the choice of lockup contracts: (i) information asymmetry, (ii) signaling, (iii) agency problem, and (iv) certification. I find strong evidence for information asymmetry and certification (VC and prestigious underwriters) and partial support for agency explanation for the choice of lockups. The insider selling activity and lockup expiration returns are also consistent with asymmetric information, certification and agency hypothesis.     

Insider Trading and Firm Performance Following Open Market Share Repurchase Announcements

The long‐run performance of equity securities subsequent to announcements of open market repurchases (OMR) remains a contentious topic. In this paper we propose the “dichotomous expectations hypothesis” which posits that insider trading following share repurchase announcements reveals private information concerning the future operating performance of announcing firms. In particular, insider abnormal purchases (abnormal sales) should predict an improvement (decline) in operating performance that leads to higher (lower) long‐run stock returns. Our hypothesis offers a credible economic link between insider trading and subsequent long‐run stock performance through the intervening variable of operating performance. The empirical results show consistency with this linkage.     

Stock‐Split Post‐Announcement Returns: Underreaction or Market Friction?

We explore the relationship between stock splits and subsequent long‐term returns during the period from 1950 to 2000. We find that, contrary to much previous research, firms do not exhibit positive long‐term post‐split returns. Instead, we find that significant positive returns after the announcement date do not persist after the actual date of the stock split. We also observe that abnormal returns are correlated with the price‐delay or market friction. We conclude that the stock‐split post‐announcement “drift” is only of short duration, and it is attributable to trading frictions rather than behavioral biases.     

Short-run Returns around the Trades of Corporate Insiders on the London Stock Exchange

Previous work examined the long-run profitability of strategies mimicking the trades company directors in the shares of their own company, as a way of testing for market efficiency. The current paper examines patterns in abnormal returns in the days around these trades on the London Stock Exchange.
We find movements in returns that are consistent with directors engaging in short-term market timing. We also report that some types of trades have superior predictive content over future returns. In particular, medium-sized trades are more informative for short-term returns than large ones, consistent with Barclay and Warner's (1993) 'stealth trading' hypothesis whereby informed traders avoid trading in blocks.
Another contribution of this study is to properly adjust the abnormal return estimates for microstructure (spread) transactions costs using daily bid-ask spread data. On a net basis, we find that abnormal returns all but disappear.     

Market Maker Performance: The Search for Fair Weather Market Makers

The London Stock Exchange has long been concerned that some market makers do not fulfill their obligations. This study describes a range of measures to identify such fair weather market makers. The results indicate that three firms of market makers meet the criteria for fair weather market making. It is also discovered that market makers in a given stock all quote the same fixed spread in round pennies and that this is about twice the touch. Internalized order flow is pervasive, with market makers receiving 57% of their order flow from associated brokers. However, fair weather market making is found to be distinct from order preferencing and internalization.     

Stock market restrictions and corporate social responsibility: Evidence from IPO suspension in China

Improving corporate social responsibility (CSR) requires not only the efforts of firms themselves but also the support of the appropriate institutional environment. This paper assesses whether access to the stock market can promote firms’ CSR. Using China’s suspension of IPOs in 2012–2014, we find that firms affected by the suspension show lower CSR in their listing year. The later listing after the suspension ends, the greater reduction in CSR. Moreover, the effect of the IPO suspension is more serious for firms with financial constraints than for non-financially constrained firms. Furthermore, we show that the IPO suspension has an adverse impact on firms’ liquidity and profitability. When this suspension ends, firms’ CSR activities recover within 1–2 years. Overall, our conclusion enriches the literature on the factors influencing CSR and provides firm-level evidence of the adverse impact of an IPO suspension.     

Financial constraints and asset pricing: comprehensive evidence from London Stock Exchange

This study provides comprehensive evidence on the pricing of financial constraints (FC) risk on London Stock Exchange during the period 1988–2013. Utilizing a large number of proxies for FC, we find that investors are not compensated with higher premia for holding shares of financially constrained firms. To the contrary, in most of the cases, the most constrained firms significantly underperform, both statistically and economically, the least constrained ones. Focussing on the Whited–Wu index to construct a zero-cost FC factor that goes long the most constrained firms and sells short the least constrained ones, we find that this factor carries a significantly negative premium and it is priced in the cross-section over and above the commonly used risk factors.     

创业投资IPO偏低定价与退出绩效实证研究

本文以1993～2006年在香港主板和创业板上市的133家H股公司为研究对象，对其偏低定价和短长期绩效情况进行了实证分析。研究表明，创业投资支持的公司的IPO偏低定价程度低于非创业投资支持的公司。创业投资支持的公司在香港主板市场的IPO偏低定价程度、长短期绩效均低于香港创业板市场，且在香港主板上市后的长期绩效呈不断下降趋势。在香港主板市场上，退出绩效与IPO偏低定价显著负相关。对创业投资支持的公司来说，在热发行期退出将获得更好的绩效。     

创业板公司IPO前后业绩变化及风险投资的影响

本文以创业板市场为样本,通过实证分析发现:风险投资在控制盈余管理方面有积极正面的影响;在上市时机选择方面,由于我国上市仍采用审批制,有风险投资和无风险投资在这一点上没有明显差异;同等资本下有风险投资持股的企业募集资金的金额少于无风险投资持股的企业,同时普通VC引入资金少于国有VC引入资金;有VC持股的企业发行后经营业绩的情况好于无VC持股的企业,风险投资的介入对于企业经营业绩有明显的正向作用。此外研究发现由于多数项目集中于政府手中,很多优质资源民间资本投资渠道不畅通,在这一点上具有国资背景的风险投资具备明显优势,容易以较低的风险进入。     

Investor Recognition and Post‐Acquisition Performance of Acquirers

The literature has documented a negative relation between investor recognition and expected returns. This negative relation is consistent with the prediction in Merton (1987, Journal of Finance 42, 483–510). This paper investigates whether the changes in investor recognition of acquirers around the time of the acquisitions can explain the post‐acquisition underperformance of acquirer stocks. Using a large sample of U.S. acquisitions from 1980 to 2010, this paper finds that investor recognition, proxied by the number of institutional investors and the number of common shareholders, increases significantly during acquisitions. Once the increases in investor recognition are controlled for, the “puzzling” long‐run underperformances of acquirers disappears.     

Jensen's alpha and the market‐timing puzzle

Theory predicts that market‐timing activities bias Jensen's alpha (JA). However, empirical studies have failed to find consistent evidence of this bias. We tackle this puzzle in a nested model analysis and show that the bias contains an exogenous market component that is unrelated to market‐timing skill. In a comprehensive empirical analysis of US mutual funds, we find that the timing‐induced bias in JA is mainly driven by this market component, which is uncorrelated with measured timing activities. Measures of total performance that allow for timing activities are virtually identical to JA, even if timing activities are present in the evaluated fund. Hence, we conclude that JA is a sufficient measure of total performance.     

Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.     

A Long‐Run Performance Perspective on the Technology Bubble

The events surrounding the stock price peak of March 2000 are commonly interpreted as the bursting of a technology or Internet bubble, with some researchers pointing out that the pattern could also arise in fundamental models. We inform the debate by studying the long‐run performance of Internet and technology stocks from March 2000 onward. Using calendar‐time regressions, we do not find conclusive evidence of negative abnormal returns. The results are consistent with a new interpretation of the events; namely, the price drop of the early 2000s was not warranted in light of future cash flows and risk.     

Long‐term Performance of Greek IPOs

We analyse the long‐run performance of 254 Greek IPOs that were listed during the period 1994–2002, computing buy‐and‐hold abnormal returns (BHAR) and cumulative abnormal returns (CAR) over 36 months of secondary market performance. The empirical results differ from international evidence and reveal long‐term overperformance that continues for a substantial interval after listing. Measuring these returns in calendar time, we find statistical significance with several of the benchmarks employed. We also find that long‐term overperformance is a feature of the mass of IPOs conducted during a pronounced IPO wave. Cross‐sectional regressions of long‐run performance disclose several significant factors. The study demonstrates that although Greek IPOs overperform the market for a longer period, underperformance eventually emerges, in line with much international evidence. Our interpretation is that the persistence of overperformance over a significant interval is due to excessive supply of issues during the ‘hot IPO period’. Results associated with pricing during the ‘hot IPO period’ indicate positive short‐ (1‐year), medium‐ (2‐year) and negative long‐term (3‐year) performance.     

Board Share‐Ownership and Takeover Performance

Abstract:   We investigate the relation between takeover performance and board share‐ownership in the acquiring company for a sample of 363 UK takeovers completed in the period 1985–96. In investigating this relationship we pay particular attention to the composition of board shareholdings as well as their size. Thus, in addition to the analysis of total board holdings, we analyse the separate impact of CEO shareholdings and of the pattern of non‐executive and executive holdings within the board. In addition to our detailed examination of board holdings we assess the impact of non‐board holdings. Our analysis controls for a number of non‐shareholding constraints on discretionary director behaviour and for a variety of other influences on takeover outcomes including: the means of payment; acquirer size and market to book value; the relative size of the acquirer and the target; the nature of the bid in terms of hostility and industrial direction; and the pre‐takeover performance of the acquiring company. We assess performance in terms of announcement returns, long run share returns and a portfolio of accounting measures. We find evidence that overall board ownership has a strong positive impact on long run share returns and a weak positive impact on operating performance. However, much stronger effects are found when the overall board measure is split into CEO, executive, and non‐executive directors. We find strong evidence of a positive relation between takeover performance and CEO ownership, which holds for both long run returns and operating performance measures. This finding is robust to controlling for other factors that determine takeover performance and holds in a two stage least squares framework that controls for endogeneity effects. Shareholdings of other executive directors, non‐executive directors, and non‐board holdings are found to have no significant effect on takeover performance.     

Information Uncertainty,Earnings Management,and Long‐run Stock Performance Following Initial Public Offerings

We examine how information uncertainty surrounding IPO (initial public offering) firms influences earnings management and long‐run stock performance. For low‐information‐uncertainty issuers, at‐issue earnings’ management is positively related to subsequent unmanaged earnings and has no relationship to market reaction to earnings announcement and long‐run stock performance following the offering. For high‐information‐uncertainty issuers, however, at‐issue earnings’ management is unrelated to subsequent unmanaged earnings and negatively related to market reaction to earnings announcement and long‐run stock performance following the offer. The evidence suggests that, on average, managers in low‐information‐uncertainty firms tend to engage in earnings’ management for informative purposes, while managers in high‐information‐uncertainty firms engage in earnings’ management for opportunistic purposes.     

Corporate Sell‐offs in the UK: Use of Proceeds,Financial Distress and Long‐run Impact on Shareholder Wealth

This study examines the long‐run return performance following UK corporate sell‐off announcements. We observe significant negative abnormal returns up to five years subsequent to sell‐off announcements. Our finding is robust to various specifications, irrespective of the intended use of proceeds. We also find a significantly positive association between long‐run abnormal returns and the magnitude of cash proceeds for sellers reducing corporate debt as well as for sellers with deeper financial distress or higher growth prospects. Overall, we find that UK corporate sell‐offs are associated with declines in subsequent shareholder wealth.     

Politically Connected CEOs,Corporate Governance,and the Post‐IPO Performance of China's Partially Privatized Firms

The authors' study provides suggestive evidence of the negative effects of politically connected CEOs on the corporate performance and governance of publicly listed companies in China. Newly listed Chinese companies with politically connected CEOs are more likely to have boards that are populated by current or former government bureaucrats, and that generally exhibit low degrees of professionalism, as indicated by fewer directors with relevant professional backgrounds. At the same time, the operating and stock‐return performance of such firms has failed to match that of their politically unconnected counterparts. Thus, the authors' study provides more support for the argument that bureaucrats and politicians extract resources from listed SOEs under their control to fulfill objectives that are not consistent with firm value maximization. Expressed in more general terms, the main finding of the study is that the constraints on property rights faced by Chinese SOEs—namely the non‐transferability of state ownership and the right of the government to appoint CEOs—appear to have significantly negative effects on firm performance as well as board professionalism and governance. Removing these constraints will likely have to be a critical part of any future reforms that aim to improve the productivity of listed Chinese companies.