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

• 成果类型: Article
• 署名作者: Patatoukas, Panos N.; Sloan, Richard G.; Wang, Annika Yu
• 署名单位: University of California System; University of California Berkeley; University of Southern California; University of Houston System; University of Houston
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3900
• 发表日期: 2022
• 页码: 608-634
• 关键词: SHORT-SALES CONSTRAINTS; Valuation uncertainty; IPO pricing; equity mispricing

摘要

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 -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.