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CAR associated with SEO share lockups: Real or illusionary?

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  • Beng Soon Chong

    (Nanyang Technological University)

  • Zhenbin Liu

    (The Chinese University of Hong Kong, Shenzhen)

Abstract

This paper examines the cumulative abnormal return (CAR) associated with both the expiration and initiation of SEO share lockups. First, we find that the average CAR around the expiration of SEO share lockups is significantly negative, but this result is mainly attributed to inappropriate benchmarking of the CAR. Second, there is also, on average, a significant negative CAR at the initiation of SEO share lockups, but the negative CAR is a temporary phenomenon that reverses itself within a short period of time. Overall, our findings do not support the downward sloping demand curve hypothesis on the lockup expiration effect.

Suggested Citation

  • Beng Soon Chong & Zhenbin Liu, 2016. "CAR associated with SEO share lockups: Real or illusionary?," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 513-541, October.
    • Handle: RePEc:kap:rqfnac:v:47:y:2016:i:3:d:10.1007_s11156-015-0510-8
    DOI: 10.1007/s11156-015-0510-8
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    More about this item

    Keywords

    SEO; Lockup expiration; Cumulative abnormal return; Efficient market; Downward sloping demand curve; Temporary price pressure;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G3 - Financial Economics - - Corporate Finance and Governance

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