I'm currently in the beginning stages of writing a thesis for my masters, and am choosing to focus on the factors that influence the abnormal negative returns seen after the expiration of IPO lockup contracts. I am focusing the thesis on the EU market from 2000 - 2015.
A past published paper written by a now-graduated student (the one I am using as my base that I will expand upon) used IPOs (2000-2014) from 8 continental European countries and regressed against the following IV's: offer size, % primary, underpricing, bookrunner (dummy v - prestigious or not), ROE, stock vol, and market vol.
To provide an innovation to the research question (something that has been written about before), I want to introduce some new, unexplored variables to my regression as well as expand the data a bit. I'm going to use IPOs from all EU countries from 2000-2015, and am trying to figure out what new variables to use... I'm pretty stuck at this point. I was considering looking at some additional macro-economic variables, and perhaps trying to analyze the behavior of selling shareholders at unlock date. Any ideas?
None of your independent variables seem to have a logical relationship to the lockup as an economic consideration. Not saying those are bad variables, but those seem to tell the story of the efficacy of the capital markets team/ the 'quality/attractiveness' of specific issues.
Maybe you could search for variables that align with how much downward pressure those who wish to sell (PE Sponsors, Founders etc.) seem to exert on the stock price after the lockup period expires?
I would look into ownership concentrations amongst n founders, existence of multiple share classes, some variables relating average daily volume to potential shares sold by founders etc.
That's how I would attack this.
Good luck!
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