Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket

Published Online:https://doi.org/10.1287/mnsc.2020.3900

References

  • Aggarwal R, Krigman L, Womack K (2002) Strategic IPO underpricing, information momentum, and lockup expiration selling. J. Financial Econom. 66(1):105–137.CrossrefGoogle Scholar
  • Autore DM, Boulton TJ, Braga‐Alves MV (2015) Failures to deliver, short sale constraints, and stock overvaluation. Financial Rev. 50(2):143–172.CrossrefGoogle Scholar
  • Balakrishnan K, Bartov E, Faurel L (2010) Post loss/profit announcement drift. J. Accounting Econom. 50(1):20–41.CrossrefGoogle Scholar
  • Beatty RP, Ritter JR (1986) Investment banking, reputation, and the underpricing of initial public offerings. J. Financial Econom. 15(1-2):213–232.CrossrefGoogle Scholar
  • Beber A, Pagano M (2013) Short selling bans around the world: Evidence from the 2007-09 crisis. J. Finance 68(1):343–381.CrossrefGoogle Scholar
  • Beneish M, Lee C, Nichols D (2015) In short supply: Short-sellers and stock returns. J. Accounting Econom. 60(2):33–57.CrossrefGoogle Scholar
  • Benveniste LM, Spindt PA (1989) How investment bankers determine the offer price and allocation of new issues. J. Financial Econom. 24(2):343–361.CrossrefGoogle Scholar
  • Berkman H, Dimitrov V, Jain PC, Koch PD, Tice S (2009) Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements. J. Financial. Econ.om 92(3):376–399.CrossrefGoogle Scholar
  • Boehme RD, Danielsen BR, Sorescu SM (2006) Short-sale constraints, differences of opinion, and overvaluation. J. Financial Quant. Anal. 41(2):455–487.CrossrefGoogle Scholar
  • Bradley DJ, Jordan BD, Ritter JR (2003) The quiet period goes out with a bang. J. Finance 58(1):1–36.CrossrefGoogle Scholar
  • Brav A, Gompers P (2003) The role of lockups in initial public offerings. Rev. Financial Stud. 16(1):1–29.CrossrefGoogle Scholar
  • Bushee BJ, Cedergren MC, Michels J (2020) Does the media help or hurt retail investors during the IPO quiet period? J. Accounting Econom. 2020;69(1):101261.CrossrefGoogle Scholar
  • Butler AW, Keefe MOC, Kieschnick R (2014) Robust determinants of IPO underpricing and their implications for IPO research. J. Corporate Finance 27:367–383.CrossrefGoogle Scholar
  • Cedergren MC (2014) Joining the conversation: How quiet is the IPO quiet period? Working paper, Santa Clara University, Santa Clara, CA.Google Scholar
  • Chan L, Lakonishok J, Sougiannis T (2001) The stock market valuation of research and development expenditures. J. Finance 56(6):2431–2456.CrossrefGoogle Scholar
  • Chen J, Hong H, Stein JC (2002) Breadth of ownership and stock returns. J. Financial Econom. 66(2):171–205.CrossrefGoogle Scholar
  • Cohen L, Diether K, Malloy C (2007) Supply and demand shifts in the shorting market. J. Finance 62(5):2061–2096.CrossrefGoogle Scholar
  • Comiskey EE, Walkling RA, Weeks MA (1987) Dispersion of expectations and trading volume. J. Bus. Finance Accounting 14(2):229–239.CrossrefGoogle Scholar
  • Cook DO, Kieschnick R, Van Ness RA (2006) On the marketing of IPOs. J. Financial Econom. 82(1):35–61.CrossrefGoogle Scholar
  • Cornelli F, Yilmaz B (2015) Do short-selling constraints matter? Working paper, London Business School, London.Google Scholar
  • Cornelli F, Goldreich D, Ljungqvist A (2006) Investor sentiment and pre‐IPO markets.J. Finance61(3):1187–1216.Google Scholar
  • D’Avolio G (2002) The market for borrowing stock. J. Financial Econom. 66(2):271–306.Google Scholar
  • Dambra M, Field LC, Gustafson MT (2015) The JOBS act and IPO volume: Evidence that disclosure costs affect the IPO decision. J. Financial Econom. 116(1):121–143.CrossrefGoogle Scholar
  • Dambra M, Schonberger B, Wasley CE (2020) Voluntary disclosure in the absence of mandatory disclosure requirements: Evidence from private firms pursuing an initial public offering. Working paper, State University of New York at Buffalo, Buffalo, NY.Google Scholar
  • Darrough M, Ye J (2007) Valuation of loss firms in a knowledge-based economy. Rev. Accounting Stud. 12(1):61–93.CrossrefGoogle Scholar
  • Diamond DW, Verrecchia RE (1987) Constraints on short-selling and asset price adjustment to private information. J. Financial Econom. 18(2):277–311.CrossrefGoogle Scholar
  • Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross-section of stock returns. J. Finance 57(5):2113–2141.CrossrefGoogle Scholar
  • Doukas JA, Kim C, Pantzalis C (2006) Divergence of opinion and equity returns. J. Financial Quant. Anal. 41(3):573–606.CrossrefGoogle Scholar
  • Drake MS, Rees L, Swanson EP (2011) Should investors follow the prophets or the bears? Evidence on the use of public information by analysts and short sellers. Accounting Rev. 86(1):101–130.CrossrefGoogle Scholar
  • Drechsler I, Drechsler Q (2016) The shorting premium and asset pricing anomalies. NBER Working Paper No. 20282, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Duffie D, Garleanu N, Pedersen L (2002) Securities lending, shorting, and pricing. J. Financial Econom. 66(2):307–339.CrossrefGoogle Scholar
  • Edwards AK, Hanley KW (2010) Short selling in initial public offerings. J. Financial Econom. 98(1):21–39.CrossrefGoogle Scholar
  • Engelberg J, Reed AV, Ringgenberg M (2018) Short-selling risk. J. Finance 73(2):755–786.CrossrefGoogle Scholar
  • Fama EF, French KR (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(3):3–56.CrossrefGoogle Scholar
  • Fama EF, French KR (1997) Industry costs of equity. J. Financial Econom. 43(2):153–193.CrossrefGoogle Scholar
  • Fama EF, French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.CrossrefGoogle Scholar
  • Field LC, Hanka G (2001) The expiration of IPO share lockups. J. Finance 56(2):471–500.CrossrefGoogle Scholar
  • Fotak V, Raman V, Yadav PK (2014) Fails-to-deliver, short selling, and market quality. J. Financial Econom. 114(3):493–516.CrossrefGoogle Scholar
  • Gao Y, Mao C, Zhong R (2006) Divergence of opinion and long‐term performance of initial public offerings. J. Financial Res. 29(1):113–129.CrossrefGoogle Scholar
  • Geczy C, Musto D, Reed AV (2002) Stocks are special too: An analysis of the equity lending market. J. Financial Econom. 66(2):241–269.CrossrefGoogle Scholar
  • Gibbs M, Hao Q (2018) Short selling around the expiration of IPO share lockups. J. Banking Finance 88:30–43.CrossrefGoogle Scholar
  • Grundy BD, Lim B, Verwijmeren P (2012) Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban. J. Financial Econom. 106(2):331–348.CrossrefGoogle Scholar
  • Hong H, Sraer D (2016) Speculative betas. J. Finance 71(5):2095–2144.CrossrefGoogle Scholar
  • Hong H, Scheinkman J, Xiong W (2006) Asset float and speculative bubbles. J. Finance 61(3):1073–1117.CrossrefGoogle Scholar
  • Houge T, Loughran T, Suchanek G, Yan X (2001) Divergence of opinion, uncertainty, and the quality of initial public offerings. Financial Management 30(4):5–23.CrossrefGoogle Scholar
  • Ibbotson R (1975) Price performance of common stock new issues. J. Financial Econom. 2(3):235–272.CrossrefGoogle Scholar
  • Jones C, Lamont O (2002) Short-sale constraints and stock returns. J. Financial Econom. 66(2):207–239.CrossrefGoogle Scholar
  • Kaplan SN, Moskowitz TJ, Sensoy BA (2013) The effects of stock lending on security prices: An experiment. J. Finance 68(5):1891–1936.CrossrefGoogle Scholar
  • Kim M, Ritter JR (1999) Valuing IPOs. J. Financial Econom. 53(3):409–437.CrossrefGoogle Scholar
  • Kumar P, Langberg N, Sivaramakrishnan K (2016) Voluntary disclosure with informed trading in the IPO market. J. Accounting Res. 54(5):1365–1394.CrossrefGoogle Scholar
  • Lakonishok J, Shleifer A, Vishny R (1994) Contrarian investment, extrapolation, and risk. J. Finance 49(5):1541–1578.CrossrefGoogle Scholar
  • Lamont OA, Thaler RH (2003) Can the market add and subtract? Mispricing in tech stock carve-outs. J. Political Econom. 111(2):227–268.CrossrefGoogle Scholar
  • Li FW, Zhu Q (2018) Short selling ETFs. Working paper, Singapore Management University, Singapore.Google Scholar
  • Liu H (2012) Naked short-selling: Is it information-based trading? PhD dissertation, Texas A&M University, College Station, TX.Google Scholar
  • Logue D (1973) On the pricing of unseasoned equity issues: 1965–1969. J. Financial Quant. Anal. 8(1):91–103.CrossrefGoogle Scholar
  • Loughran T, Ritter JR (1995) The new issues puzzle. J. Finance 50(1):23–51.CrossrefGoogle Scholar
  • Loughran T, Ritter JR (2002) Why don’t issuers get upset about leaving money on the table in IPOs? Rev. Financial Stud. 15(2):413–444.CrossrefGoogle Scholar
  • Loughran T, Ritter JR (2004) Why has IPO underpricing changed over time? Financial Management 33(3):5–37.Google Scholar
  • Lowry M, Schwert GW (2002) IPO market cycles: Bubbles or sequential learning? J. Finance 57(3):1171–1200.CrossrefGoogle Scholar
  • Lowry M, Officer MS, Schwert GW (2010) The variability of IPO initial returns. J. Finance 65(2):425–465.CrossrefGoogle Scholar
  • McNichols M, O’Brien PC (1997) Self-selection and analyst coverage. J. Accounting Res. 35(suppl):167–199.CrossrefGoogle Scholar
  • Miller E (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151–1168.CrossrefGoogle Scholar
  • Mitchell M, Pulvino T, Stafford E (2002) Limited arbitrage in equity markets. J. Finance 57(2):551–584.CrossrefGoogle Scholar
  • Nagel S (2005) Short sales, institutional investors, and the cross-section of stock returns. J. Financial Econom. 78(2):277–309.CrossrefGoogle Scholar
  • Ofek E, Richardson M (2003) Dotcom mania: The rise and fall of Internet stock prices. J. Finance 58(3):1113–1137.CrossrefGoogle Scholar
  • Reed AV (2013) Short selling. Annu. Rev. Financial Econom. 5:245–258.CrossrefGoogle Scholar
  • Reed AV (2015) Connecting supply, short-sellers, and stock returns: Research challenges. J. Accounting Econom. 60(2-3):97–103.CrossrefGoogle Scholar
  • Richardson S, Tuna I, Wysocki P (2010) Accounting anomalies and fundamental analysis: A review of recent research advances. J. Accounting Econom. 50(2-3):410–454.CrossrefGoogle Scholar
  • Ritter JR (1991) The long-run performance of initial public offerings. J. Finance 46(1):3–27.CrossrefGoogle Scholar
  • Ritter JR (1998) Initial public offerings. Contemporary Finance Digest 2(1):5–30.Google Scholar
  • Ritter JR (2016) Initial public offerings: Updated statistics. Working paper, University of Florida, Gainsville, FL.Google Scholar
  • Ritter JR, Welch I (2002) A review of IPO activity, pricing, and allocations. J. Finance 57(4):1795–1828.CrossrefGoogle Scholar
  • Rock K (1986) Why new issues are underpriced. J. Financial Econom. 15(1):187–212.CrossrefGoogle Scholar
  • Willenborg M, Wu B, Yang YS (2015) Issuer operating performance and IPO price formation. J. Accounting Res. 53(5):1109–1149.CrossrefGoogle Scholar
  • Zhang XF (2006) Information uncertainty and stock returns. J. Finance 61(1):105–137.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.