Re examining the IPO unlock day anomaly, do market conditions and increased availability of information matter

... INING THE IPO UNLOCK DAY ANOMALY: DO MARKET CONDITIONS AND INCREASED AVAILABILITY OF INFORMATION MATTER? and subm itted in partial fu lfilm e n t o f the requirements for the degree o f MASTER OF. .. about the unlock This suggests that the prevalent m arket conditions at IPO and unlock affect the performance o f the offe ring about the unlock day The results pertaining to the unlock day event...Reproduced with permission of the copyright owner Further reproduction prohibited without permission Re- examining the IPO Unlock Day Anomaly: Do Market Conditions and Increased Availability

INFORMATION TO USERS This manuscript has been reproduced from the microfilm master UMI films the text directly from the original or copy submitted Thus, some thesis and dissertation copies are in typewriter face, while others may be from any type of computer printer The quality of this reproduction is dependent upon the quality of the copy subm itted Broken or indistinct print, colored or poor quality illustrations and photographs, print bleedthrough, substandard margins, and improper alignment can adversely affect reproduction In the unlikely event that the author did not send UMI a complete manuscript and there are missing pages, these will be noted Also, if unauthorized copyright material had to be removed, a note will indicate the deletion Oversize materials (e.g., maps, drawings, charts) are reproduced by sectioning the original, beginning at the upper left-hand comer and continuing from left to right in equal sections with small overlaps Photographs included in the original manuscript have been reproduced xerographically in this copy Higher quality 6” x 9” black and white photographic prints are available for any photographs or illustrations appearing in this copy for an additional charge Contact UMI directly to order ProQuest Information and Learning 300 North Zeeb Road, Ann Arbor, Ml 48106-1346 USA 800-521-0600 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Reproduced with permission of the copyright owner Further reproduction prohibited without permission Re-examining the IPO Unlock Day Anomaly: Do Market Conditions and Increased Availability of Information Matter? George J Gaspar A Thesis In the John M olson School o f Business Presented in Partial F u lfilm e n t o f the Requirements fo r the Degree o f M aster o f Science in A dm inistra tion at Concordia University M ontreal, Quebec, Canada A p ril 2002 ©George J Gaspar, 2002 Reproduced with permission of the copyright owner Further reproduction prohibited without permission + National Library of Canada Bibliotheque nationale du Canada Acquisitions and Bibliographic Services Acquisitions et services bibliographiques 395 Wellington Street Ottawa ON K1A0N4 Canada 395, rue Wellington Ottawa ON K1A0N4 Canada YourUm You* riM n n c* Our Ha Hotta raHranca The author has granted a non­ exclusive licence allowing the National Library of Canada to reproduce, loan, distribute or sell copies o f this thesis in microform, paper or electronic formats L’auteur a accorde une licence non exclusive permettant a la Bibliotheque nationale du Canada de reproduire, preter, distribuer ou vendre des copies de cette these sous la forme de microfiche/film, de reproduction sur papier ou sur format electronique The author retains ownership o f the copyright in this thesis Neither the thesis nor substantial extracts from it may be printed or otherwise reproduced without the author’s permission L’auteur conserve la propriete du droit d’auteur qui protege cette these Ni la these ni des extraits substantiels de celle-ci ne doivent etre imprimes ou autrement reproduits sans son autorisation 612 68418-0 - - Canada Reproduced with permission of the copyright owner Further reproduction prohibited without permission C O N C O R D IA U N IV E R S IT Y School o f Graduate Studies This is to ce rtify that the thesis prepared By: GEORGE J GASPAR Entitled: RE-EXAM INING THE IPO UNLOCK DAY ANOMALY: DO MARKET CONDITIONS AND INCREASED AVAILABILITY OF INFORMATION MATTER? and subm itted in partial fu lfilm e n t o f the requirements for the degree o f MASTER OF SCIENCE IN ADMINISTRATION com plies w ith the regulations o f this U niversity and meets the accepted standards w ith respect to o rig in a lity and quality Signed by the fin a l exam ining committee: Chair ner Examiner Thesis Supervisor Approved by ir o f Departm ent or Graduate Program D ire ctor ApriV ft 20 c>2_ Dean o f Faculty Reproduced with permission of the copyright owner Further reproduction prohibited without permission ABSTRACT R e-Exam ining the IPO U nlock Day Anom aly: Do M arket Conditions and Increased A v a ila b ility o fln fo rm a tio n Matter? George J Gaspar The lockup agreement prohibits insiders and pre IPO shareholders from selling any o f their stake in the company p rio r to the unlock date Field and Hanka (2001) find that the unlock day is associated w ith significant abnormal returns D uring the period o f the Field and Hanka (2001) study the public was almost never reminded o f the unlock date, other than the unlock date being available in the com pany's prospectus However, as o f October 1999 reminders o f the unlock date have been w idely available via internet sources This study investigates i f the greater degree o f public inform ation/scrutiny pertaining to the unlock day results in the elim ina tion o f the unlock day abnormal returns Abnorm al returns are found to be confined to firm s having venture capital backing Observed price adjustments tend to begin much earlier and declines appear more severe than previously reported The study considers i f the nature o f the actual response observed at unlock is tied to the overall market sentiment at the time o f IPO and unlock finding that firm s m aking IPOs in cold markets are less affected at unlock than those firm s m aking IPOs in hot markets Further, many o f the factors surrounding the IPO o f a security act to lessen the inform ational asy mmetries persisting at the tim e o f the offering: the study confirm s the relation o f these IPO signalling factors as drivers o f unlock day selling pressure Furthermore, in the exam ination o f the unlock day effect, consideration was also given to afterm arket price support and industry iii Reproduced with permission of the copyright owner Further reproduction prohibited without permission effects Table of Contents In tro d u c tio n Literature R e view 2.1 V C B a ckin g 2.2 S ta b iliz a tio n 2.3 H ot and C old M a rke ts 2.4 A B r ie f O verview o f the M arket C onditions during the Study P e rio d Data and M e th o d o lo g y 3.1 D a ta 3.2 M e th o d o lo g y 3.2.1 A bnorm al Returns C o m p u ta tio n 3.2.2 A bnorm al V olum e C om putation 3.2.3 S ta b iliz a tio n 15 15 10 Hypotheses 4.1 Info rm ation H yp o th e sis 4.2 S igna lling H ypotheses 4.3 M arket C onditions H yp o th e sis 4.4 Industry Effects H ypothesis 4.5 Stabilization/P rice Support H yp o th e sis Results 5.1 A bnorm al Returns about the U nlock D a te 5.2 Inform ation S ig n a llin g 5.3 M arket C onditions at IPO and U n lo c k 5.4 Industry E ffe cts 5.5 Price S upport 5.6 A bnorm al V o lu m e 10 12 10 21 21 24 28 31 32 A 33 34 36 38 40 41 Summary and C o n clu sio n 42 T ab les Table a) A bnorm al Return Regression I Table b) A bnorm al Return Regression I Table a) A bnorm al Return Regression I I Table b) A bnorm al Return Regression I I Table A bnorm al Return Regression I I I Table a) A bnorm al Return Regression I V Table b) A bnorm al Return Regression I V Table A bnorm al V olum e Regression I Table Regression: Abnorm al U nlock Day Volum e as a d rive r o f Abnorm al I nlock Day R e tu rn s fa b le a) Venture C apitalist Backing and SIC Code C lassifications Table b) Venture C apitalist Backing and SIC Code C lassifications Table a) M arket Conditions at IPO and U n lo c k fa b le b) M arket Conditions at IPO and U n lo c k 46 iv Reproduced with permission of the copyright owner Further reproduction prohibited without permission 46 47 48 40 50 51 52 53 54 55 55 56 56 Table Hypothesis T e s tin g 57 Table 10 Hypothesis T e s tin g 57 Figures 58 Figure la ) M arket M odel: O verall P e rio d 58 Figure lb ) M arket Adjusted Return: O verall P e rio d 59 Figure 2a) M arket M odel: O verall Period V C Backed Firm s 60 Figure 2b) M arket Adjusted Return: O verall Period V C Backed F irm s 61 Figure 3a) M arket M odel: O verall Period Non V C Backed F irm s 62 Figure 3b) M arket Adjusted Return: O verall Period Non VC Backed Firm s 63 Figure 4a) M arket M odel: H ot/H ot M a rk e t 64 Figure 4b) M arket Adjusted Return: Hot/Plot M a rk e t 65 Figure 5a) M arket M odel: H ot/C old M a rk e t 66 Figure 5b) M arket Adjusted Return: H ot/C old M a rk e t 67 Figure 6a) M arket M odel: C old/C old M arke t 68 Figure 6b) M arket Adjusted Return: C o ld/C o ld M arket 69 Figure 7a) M arket M odel: H ot/H ot M arket V C Backed F irm s 70 Figure 7b) M arket Adjusted Return: H o t/H o t M arket V C Backed F irm s 71 Figure 8a) M arket M odel: H ot/C old M arket V C Backed Firm s 72 Figure 8b) M arket Adjusted Return: H ot/C old M arket VC Backed F irm s 73 Figure 9a) M arket M odel: C old/C old M arket, V C Backed F irm s 74 Figure 9b) M arket Adjusted Return: C old/C o ld M arket V C Backed F irm s 75 Figure 10a) M arket M odel: H ot/H ot M arket N on V C Backed F irm s 76 Figure 10b) M arket Adjusted Return: H ot/H ot M arket Non VC Backed F irm s 77 Figure la ) M arket M odel: H ot/C old M arket Non V C Backed Firm s 78 Figure lb ) M arket Adjusted Return: H ot/C old M arket Non VC Backed Firm s 79 Figure 12a) M arket M odel: C o ld'C old M arket Non V C Backed F irm s 80 Figure 12b) M arket Adjusted Return: C o ld/C o ld M arket Non VC Backed F irm s 81 Figure 13a) M arket M odel: SIC Code 0 82 Figure 13b) M arket Adjusted Return: SIC Code 0 83 Figure 14a) M arket M odel: SIC Code 0 84 Figure 14b) M arket Adjusted Return: SIC Code 0 85 Figure 15a) M arket M odel: SIC Code 0 86 Figure 15b) M arket Adjusted Return: SIC Code 0 87 Figure 16a) M arket M odel: SIC Code 0 88 Figure 16b) M arket Adjusted Return: SIC Code 0 89 Figure 17a) M arket M odel: SIC Code 0 90 Figure 17b) M arket Adjusted Return: SIC Code 0 91 Figure 18a) M arket M odel: SIC Code 0 92 Figure 18b) M arket Adjusted Return: SIC Code 0 93 Figure 19a) M arket M odel: SIC Code 0 94 Figure 19b) M arket Adjusted Return: SIC Code 0 95 Figure 20a) M arket M odel: VC Backed Firm s SIC Code 0 96 Figure 20b) M arket Adjusted Return: V C Backed Firms SIC Code 0 97 Figure 21a) M arket M odel: Non V C Backed Firm s SIC Code 7300 98 Figure 21a) M arket Adjusted Return: Non V C Backed Firms SIC Code 7300 99 Figure 22a) M arket M odel: V C Backed Firm s Non SIC Code 7300 100 v Reproduced with permission of the copyright owner Further reproduction prohibited without permission Figure 22b) M arket Adjusted Return: VC Backed Firm s Non SIC Code 0 101 Figure 23a) M arket M odel: Non VC Backed Firm s Non SIC Code 7300 102 Figure 23b) M arket Adjusted Return: Non V C Backed Firms Non SIC Code 7300 103 Figure 24 Abnorm al V olum e: O verall P e rio d 104 Figure 25 Abnorm al V olum e: V C Backed F irm s 105 Figure 26 Abnorm al Volum e: Non VC Backed F irm s 106 Figure 27 Abnorm al Volum e: Hot/ Hot M a rk e t 107 Figure 28 Abnorm al Volum e: H ot/C old M a rk e t 108 Figure 29 Abnorm al Volum e: C old/C old M a rke t 109 Figure 30 Abnorm al Volum e: H ot/H ot M arket V C Backed F irm s 110 Figure 31 Abnorm al Volum e: H ot/C old M arket VC Backed Firm s 11 Figure 32 Abnorm al V olum e: C old/C old M arket V C Backed F irm s 112 Figure 33 Abnorm al Volum e: H ot/H ot M arket Non VC Backed F irm s .113 Figure 34 Abnorm al Volum e: H ot/C old M arket Non VC Backed Firm s I 14 Figure 35 Abnorm al Volum e: C’old/C old M arket Non V C Backed F irm s 1I Figure 36 Abnorm al Volum e: Comparison o f V C and Non VC Backed F irm s 116 Figure 37 Proportion o f Firms Trading B elow O ffe r P ric e 17 Figure 38 Proportion o f Firms Trading Below O ffe r Price IPO H o t 117 Figure 39 Proportion o f Firms Trading Below O ffe r Price IPO C o ld 11pical length o f the lockup period is 180 days, f o r the firm s in this stud> 96% o f the firm s have a lockup period o f exactly 180 days The in form ation pertaining to the length o f the lockup period is contained in the IPO prospectus, f urther, the lockup day and the number o f shares locked up is know n and printed in the prospectus in advance o f both the in itia l public o ffe rin g date and w ell before the unlock day itself Thus the unlock day represents a com pletely predictable event Field and Hanka (2001 ) find that the unlock day signifies a statistically significant three-day abnormal return o f 1.5°b O fek and Richardson (2000) fin d that there is a sim ilar 1% - 3° drop in stock price around the unlock day S im ila r unlock day returns are reported by B ra\ and Ciompers (1999) as well as Bradley et (2001) This price reaction is quite surprising since there is no inform ation asymmetry about the unlock date and goes against the I Reproduced with permission of the copyright owner Further reproduction prohibited without permission Abnormal Volume; Hot/Cold 50% 40% a> > 30% 0) Is Ol 20% a> (Q a w a> 0) > 10% E _3 O 0% > _>N '«5 a -10% -20% Trading Day Relative to Unlock Date Figure 28 Abnormal Trading around the unlock day Volume is measured relative to each firm's mean volume over days-110 to -10 Sample includes 236 U S IPOs Day -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 Abnormal Volume -9.934% -9.554% -14.052% -13.489% -14.185% -5 091% -10 916% -11 913% -5.488% -6.288% -11.922% -13.711% -15 196% -9.791% -7 111% -7 478% -4.964% 4.207% 6.674% 2.874% Test Statistic -0.44 -0.42 -0 62 -0.60 -0.63 -0.23 -0.49 -0.53 -0.24 -0.28 -0.53 -0.61 -0.68 -0 44 -0.32 -0.33 -0 22 0.19 0.30 13 Day 10 11 12 13 14 15 16 17 18 19 20 Abnormal Volume 40 172% 34 461% 22 462% 300% 3.551% 343% 746% -3 331% -5.186% -5.145% -8 767% 4.062% 9.490% 722% 5.135% 532% 2.150% -6 623% -0.822% 7479% 962% Test Statistic 79 53 00 19 16 24 30 -0 15 -0 23 -0 23 -0 39 18 42 30 23 0.33 0.10 -0 29 -0 04 33 44 108 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Abnormal Volume; Cold/Cold 80% 160% 120% 100% -20% -I20 - -16 -8 -_ -4 a 12 16 20 Trading Day Relative to Unlock Date Figure 29 Abnormal Trading around the unlock day Volume is measured relative to each firm's mean volume over days-110 to -10 Sample includes 289 U S IPOs Day -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 Abnormal Volume 1.763% -3465% 123% 2.260% -7.130% 2.201% 14.936% 6.253% 18.456% 8.772% 4.887% 2.442% 6.429% 7.550% -2.242% 1.867% 3.279% 11.057% 19.159% 53.734% Test Statistic 0.08 -0 17 0.10 11 -0 34 11 0.72 0.30 0.89 0.42 0.24 0.12 0.31 0.36 -0 11 0.09 0.16 0.53 0.92 58 Day 10 11 12 13 14 15 16 17 18 19 20 Abnormal Volume 161 635% 100 373% 77.713% 42.878% 51.831% 55.105% 38 680% 18.348% 28.445% 23.667% 44.722% 53.956% 38.419% 44.632% 36.308% 45.354% 54.139% 55.265% 31.712% 31.238% 30.703% Test Statistic 77 83 74 06 49 65 86 88 37 14 2.15 2.59 85 15 75 2.18 2.60 2.66 53 50 48 109 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Abnormal Volume; VC backed firms, Hot/Hot 160% 140% 120% 0) > 100% a) a> re re tr w re re > E < _ra O > _>» '5 16 a 20 Trading Day Relative to Unlock Date Figure 30 Abnormal Trading around the unlock day Volume is measured relative to each firm’s mean volume over days -110 to -10 Sample includes 139 U S IPOs Abnormal Day Volume -20 10.969% -19 -15 427% -18 7.025% -17 -16.005% -16 -16 681% -15 -16.354% -14 -4.385% -13 -12.585% -12 -13.500% -11 -7.008% -10 0.905% -9 1.009% -13.274% -8 -7 5.475% -6 20.131% -5 5.509% -4 4.531% 3.777% -3 -2 19 728% -1 61.087% Test Statistic 0.44 -0.62 0.28 -0 64 -0 67 -0.65 -0.18 -0.50 -0.54 -0.28 0.04 0.04 -0.53 22 0.80 0.22 0.18 0.15 0.79 2.44 Day 10 11 12 13 14 15 16 17 18 19 20 Abnormal Volume 146 568% 46 640% 36 549% 52 849% 63 957% 59 452% 50 838% 24 691% 26.083% 21 224% 33.310% 48.332% 52.538% 46.195% 40 201% 51.932% 75.090% 54.633% 54 673% 98 682% 87.952% Test Statistic 85 86 46 11 55 37 03 99 04 85 33 93 10 84 61 2.07 3.00 2.18 2.18 94 51 110 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Abnormal Volume; VC backed firms, Hot/Cold 60% u o 0> > ‘•S a> re OJ Q) re a: k 4) a> > E < j3 -10% o > j>» -20% 're Q -40% Trading Day Relative to Unlock Date Figure 31 Abnormal Trading around the unlock day Volume is measured relative to each firm's mean volume over days -110 to -10 Sample includes 180 U S IPOs Day -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 Abnormal Volume -4.694% -10 913% -20.777% -11.014% -22.765% -13 478% -15.041% -23.905% -14.429% -10.629% -16.965% -24.787% -20.265% -32.341% -27.577% -18.926% -19.122% -5.943% -0 412% 3.729% Test Statistic -0.17 -0.39 -0.74 -0.39 -0.81 -0.48 -0.53 -0.85 -0.51 -0.38 -0.60 -0.88 -0.72 -1.15 -0.98 -0.67 -0.68 -0.21 -0.01 0.13 Day 10 11 12 13 14 15 16 17 18 19 20 Abnormal Volume 47 424% 28.162% 26 711% 478% 112% -0 555% 720% -10.625% -1.119% -1.469% -4.232% 5.829% -6 063% -7 035% -6.984% -3.226% -2.218% -5 306% -6 263% 2.523% -3 642% Test Statistic 69 00 95 34 18 -0 02 03 -0 38 -0.04 -0.05 -0.15 21 -0.22 -0 25 -0 25 -0.11 -0.08 -0 19 -0 22 0.09 -0 13 11 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Abnormal Volume; VC backed firms, Cold/Cold 250% E k iZ o a> 200% > 150% > jo a O) 0) (0 w ct 100% J3 O > 0% o> re k_ 40% 0% o -20% -40% I Trading Day Relative to Unlock Date Figure 33 Abnormal Trading around the unlock day Volume is measured relative to each firm's mean volume over days -110 to -10 Sample includes 51 U S IPOs Day -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 Abnormal Volume 5.571% -3.969% 20.136% -13.071% -12.142% 11.449% -17.173% 0.385% -9.406% -3.812% -12.992% -6.083% -23.553% -18.955% -8.743% 25.087% 6.613% 9.937% 25.991% 26.705% Test Statistic 0.16 -0 11 56 -0.36 -0.34 0.32 -0.48 0.01 -0.26 -0.11 -0.36 -0.17 -0.66 -0.53 -0.24 0.70 0.18 0.28 72 0.74 Day 10 11 12 13 14 15 16 17 18 19 20 Abnormal Volume 59.845% 17 013% 76 185% 23 721% -7 910% -10 406% -14 815% -17 898% -0.894% -24.186% -10.694% 15.112% 14.690% 536% 13.485% 14.996% 11.141% 17.998% 23 361% 58.191% 21 594% Test Statistic 67 47 12 66 -0 22 -0 29 -0.41 -0.50 -0.02 -0.67 -0 30 42 0.41 10 38 42 31 0.50 65 62 60 113 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Abnormal Volume; NonVC backed firms, Hot/Cold 80% 60% u 40% 0) 05 re k_ a> > < 20% 0% -12 -20% a -40% Trading Day Relative to Unlock Date Figure 34 Abnormal Trading around the unlock day Volume is measured relative to each firm's mean volume over days -110 to -10 Sample includes 43 U S IPOs Day -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 Abnormal Volume -26.985% -28.183% -21.403% -24.430% -12.621% 0.820% -18.483% -6.628% 5.838% -5.541% -1.847% 6.141% -23.127% 61.580% 0.525% -7.961% 20.205% 4.290% 48.904% 20.242% Test Statistic -0.99 -1.03 -0.78 -0.89 -0.46 0.03 -0.68 -0.24 0.21 -0.20 -0.07 0.22 -0.85 2.25 0.02 -0.29 0.74 0.16 1.79 0.74 Day 10 11 12 13 14 15 16 17 18 19 20 Abnormal Volume 36.953% 58 481% -4 138% 13 312% 19 871% -1.471% 33 803% 39 692% -1.939% -10.139% 035% 996% 61 277% 37 902% 69 730% 47 393% 27 291% 9.003% 11.382% 37 379% 48 054% Test Statistic 35 14 -0 15 49 73 -0 05 24 45 -0.07 -0.37 0.04 29 24 39 55 73 00 0.33 42 37 76 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Abnormal Volume; NonVC backed firms, Cold/Cold 100% 80% LL O +* 4> 0) 05 a> C£ W '•S 60% 40% 20% 0% J3 O > -20% (5 -40% Q -60% Trading Day Relative to Unlock Date Figure 35 Abnormal Trading around the unlock day Volume is measured relative to each firm's mean volume over days -110 to -10 Sample includes 53 U S IPOs Day -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 Abnormal Volume -37.784% -22.405% -22.904% -12.291% -24.934% -17 101% -18 961% -11.219% -12.111% -8.775% 3.094% 8.710% 0.316% 8.764% -9 691% -6.428% -0.714% -1 535% -11.594% 1.309% Test Statistic -0.91 -0.54 -0.55 -0.30 -0.60 -0 41 -0.46 -0.27 -0.29 -0.21 007 021 0.01 0.21 -0.23 -0.16 -0.02 -0.04 -0.28 0.03 Day 10 11 12 13 14 15 16 17 18 19 20 Abnormal Volume 80.223% 47 208% 60 208% 23 396% 13.229% 17 018% 36.368% 6.767% -5.796% -1.516% 9.228% 31.450% 5.903% 35 378% 7.017% -7 333% -7 820% -23 180% -25 253% -4 550% -9 236% Test Statistic 94 14 46 57 32 0.41 88 16 -0 14 -0 04 22 0.76 14 86 17 -0.18 -0.19 -0 56 -061 -0 11 -0.22 115 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Abnormal Volume; Overall — vc Non VC 140% 120% u 100% a LL o> w ei 0, E < 80% 60% 40% 20% 0% - 20 % ' v -12 20 -40% Trading Day Relative to Unlock Date Figure 36 Abnormal Trading around the unlock day Volume is measured relative to each firm’s mean volume over days -110 to -10 116 Reproduced with permission of the copyright owner Further reproduction prohibited without permission 7igure 37 Proportion o f Firm s T d in g Below O ffe r Price ■Non VC Proportion of Firms Trading Below Offer Price VC 70% 60% ■5 50% a te 40% a / V -r -.-V 30% o a o o 09 20% 10% OSfa 0% nnirmriniimmuniuii niiiiiiimiiiiiiii inmiiiiiin iiiiii iiiiiiiiiiiiiiiiiiimimniiiiiimii i in mimirniiiTirnmrmn -120 -110 -100 -90 -80 -70 -60 -50 -40 -30 -20 -10 10 20 Trading Day Relative to Unlock Date Figure 37 Proportion of firms trading below offer Figure 38 Proportion of Firms Trading Below Offer Price, IPO Hot IPO Hot ■Non VC VC 60% i CD £ •a 50% ® ^ ■= 40% £ it | 30% c | | 20% o co o Q 10 % o% nm rnimnnTTHTTTTninnHmrTriHniTMnmiTHrnMmTiunnnnniinnmMm iiiumnniTnif furnnnmiiin mu nn -120 -110 -100 -90 -80 -70 -60 -50 -40 -30 -20 -10 10 20 Trading Day Relative to Unlock Date Figure 38 Proportion of firms trading below offer Sample includes all firms that underwent IPO during "hot" market 117 Reproduced with permission of the copyright owner Further reproduction prohibited without permission Figure 39 Proportion o f Firm s T d in g Below O ffe r Price, IP O Cold • N o n VC IPO C old VC 80% S) e 70% as £ U 60% Ê 't u in 11 O đ 'Ê ô O CO s o k* CL 50% 40% i>/ A a -' ■