IPO 락업 제도가 저가발행현상에 미치는 영향

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.