Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket
利用IPO数据，发现估值不确定性与卖空限制共同导致显著的市场错误定价，最易被高估的IPO首日回报率达47%，锁定期到期回报率为-9%，且卖空限制在锁定期到期时最严重。
We use the initial public offering (IPO) setting to provide evidence that the combination of valuation uncertainty and short-sales constraints generates significant equity market mispricing. The IPOs that we predict to be most susceptible to overpricing in the immediate aftermarket have first-day returns of +47% and lockup expiration returns of [Formula: see text]9%. Our detailed analysis of securities lending market data confirms that these IPOs experience severe short-sales constraints that peak around the lockup expiration. Our paper both explains the anomalous pricing of IPOs and highlights the importance of valuation uncertainty and short-sales constraints in explaining equity mispricing. This paper was accepted by Brian Bushee, accounting.