The Return Patton Around The Expire Of Ipo Lock-up Agreement And The Study Of Event-driven Investment Strategy

In this thesis, the author examined 98 IPO lock-up samples listed in Shanghai Stock Exchange from June, 2006 to June, 2010, and tested the CAR(Cumulative Abnormal Return) around the expire of the IPO lock-up agreement.Empirical evidences show statistically significant negative CAR 15 days before the expire of lock-up agreement and this negative CAR gets even larger after the expiration date and stays at -5% 15 days after the expiration. Empirical evidences also shows statistically significant abnormal trading volume around the expiration date. The trading volume as of the expiration date is extremely larger than the average normal volume before and begins to decrease in the following 10 days and finally stays at 20%. Downside sloping demand curve, speculative bubbles and Asymmetric information and information screening are all tested with the samples and the results shows speculative bubbles is the most statistically significant one.Pooled OLS model is used. The coefficient of determination is greater than 70% and F-statistics is also significant. Market period, abnormal trading volume, unlock-up size, EPS are the most important Explanatory variables.The unlock-up size and EPS announced before the expiration are used as classification indicates. New samples with expiration date after June, 2010 are taken into consideration.