Event-Driven#395tier 2experimental liveNew

`ipo lockup expiry short`

cadence: Eventdata: lowshort only

2001

Field, L. C., Hanka, G. (2001). "The Expiration of IPO Share Lockups." Journal of Finance 56(2), 471-500. Ofek, E., Richardson, M. (2000). Brav-Gompers (2003) JF.

Read the paper →

What it checks

Standard IPO lockups expire 180 days after the offering. The flood of newly tradable shares from insiders and VCs creates supply pressure, so shorting the stock for 1-3 months after the lockup expires has historically produced consistent drift.

Mechanism

Standard IPO lockup is 180 days; insider and VC shares become freely tradable on expiry. The supply shock from newly-unlocked shares exceeds demand, producing measurable negative drift in the post-expiry window. Ofek-Richardson 2000 and Brav-Gompers 2003 confirm with stronger persistence for VC-backed deals.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

SHORT T = ipo_effective_date + 180d, hold 30/60/90d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_s1_filings
Worker data table, see services/worker schema.

Expected edge

Paper alpha: -2% at expiry, persists 30-60d
Paper window: T+1 to T+90d post-expiry

Field-Hanka 2001; ~-2% at expiry persisting 30-60d, up to -15% over 6mo for VC-backed.

Related families

ipo underpricing driftEvent-Driven

IPO firms underperform by ~7%/yr over 5y; 12-36m band is where it accumulates.

seo underperformanceEvent-Driven

SEO issuers underperform ~7-8%/yr over 5y.

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ipo lockup expiry short