創投,閉鎖期,及IPO之長期績效

Venture Capital , Lockup Expiration and Long-run Performance of IPOs

汪欣如(Hsin-Ru Wang)

指導教授 ： 陳軒基

元智大學/管理學院/財務金融學系/碩士(2004年)

摘要

這篇論文是以行為財務學角度，研究創投在閉鎖期結束後之出售持股行為與公司長期績效之關係。我們針對Brav 與Gompers (1997)與其他有關IPO閉鎖期之文獻所存在的衝突，提出了三種可能的解釋。首先，我們測試創投在閉鎖期結束後出售持股是否是因為持有內部資訊；第二，創投在閉鎖期結束後出售持股是否是因為”disposition effect”；最後，我們檢驗創投在閉鎖期結束後出售持股是否是因為”cognitive bias”。本篇研究試著解釋內部人交易行為與公司長期績效之關係，且幫助投資人了解有創投投資之IPO，或閉鎖期結束後具有負異常報酬之IPO，其長期績效表現是否較佳。本篇實證顯示，創投在閉鎖期結束後出售持股並非是因為持有內部資訊，而可能是由於distribution agreement、 cognitive bias與disposition effect。同時，市場投資人似乎對創投之交易行為有過度反應的跡象。

關鍵字

創投 ； 閉鎖期 ； IPO長期績效

並列摘要

This paper is the first one to study the venture capitalists’ selling after lockup expiration and the long-run performance of the firms in “behavioral finance” perspective. We address three primary issues related to the contradiction between Brav and Gompers (1997) and other lockup literature. First, we examine whether venture capitalists sell at lockup expiration due to “knowingly sell.” Second, we test whether venture capitalists sell due to “disposition effect.” Finally, this article tests whether venture capitalists sell due to “cognitive bias.” Our paper not only tries to solve the puzzle of the existence of conflict between insider selling and long run performance, but also is helpful for investors to understand whether the vc-backd IPOs, or IPOs with abnormal return after the expiration day, are outperforming in the long run. Our empirical results show that the selling of venture capitalists after lockup expiration is not knowingly sale, but probably due to their distribution agreement, cognitive bias (over-pessimism) or disposition effect. Meanwhile, investors in the market seem to overreact to the trading behavior of venture capitalists.

並列關鍵字

venture capital ； lockup expiration ； Long-run Performance of IPO

參考文獻

Barber, Brad M. and John D. Lyon (1997). Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics. Journal of Financial Economics 43 (1997), 341-372

Bradley, Daniel J., Bradford D. Jordan, Ivan C. Roten, and Ha-Chin Yi (2001). Venture Capital and IPO Lockup Expiration: An Empirical Analysis. The Journal of Financial Research 24, 465-492

Brav, Alon and Paul A. Gompers (2003). The Role of Lockups in Initial Public Offerings. The Review of Financial Studies 16, 1-29

Brav, Alon and Paul A. Gompers (2000). Insider Trading Subsequent to Initial Public Offerings: Evidence from Expirations of Lock-Up Provisions. Working paper.

Brav, Alon and Paul A. Gompers (1997). Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies. The Journal of Finance 52, 1791-1821