Ist der Ablauf der Lock-up-Frist bei Neuemissionen ein kursrelevantes Ereignis? Eine empirische Analyse von Unternehmen des Neuen Marktes

Abstract

This paper explores the stock price impact of expirations of lock-up provisions. These prevent insiders from selling their shares after the initial public offering (IPO) within the lock-up period. We examine the lock-up agreements of 142 IPOs floated on Germany’s New Market. Since the date of the lock-up expiration is common knowledge at the IPO, we would not expect to find abnormal stock returns surrounding the event day, assuming that markets are informationally efficient. However, using an event-study methodology we detect statistically significant negative abnormal stock returns and a twenty-five percent increase in trading volume surrounding lock-up expiration. The negative abnormal stock returns are larger for firms with high volatility, superior performance after the IPO, and low free float. The results of our study raise important regulatory issues with respect to disclosure rules of firms going public. We argue that insiders should be legally required to disclose their sell transactions in order to protect new and less informed shareholders.