Pension Funds and IPO Pricing. Evidence from a Natural Experiment.

44 Pages Posted: 30 Mar 2018 Last revised: 19 Dec 2018

See all articles by Lukasz Langer

Lukasz Langer

University of California, Berkeley - Haas School of Business

Piotr Langer

Imperial College Business School

Paulina Roszkowska

Hult International Business School; University of California, Berkeley - Haas School of Business; Warsaw School of Economics (SGH)

Date Written: April 26, 2018

Abstract

We exploit a natural experiment arising from the government-forced changes to the assets under management and investment policy of the Polish pension funds. We test whether this new regulation and its resultant demand shock on the investors’ side, leads to changes in the IPO pricing and subsequent stock’s performance. We report a material and statistically significant decrease in the IPO proceeds (IPO size) in the post-treatment period equal to over 100 million PLN. We find no empirical evidence that the treatment had a significant effect on the first-day IPO underpricing or on the long-term underperformance. We conclude that demand shock resulting from the pension fund reform effectively eliminates the so-called ‘pension premium’ of higher IPO valuations.

Keywords: IPO Pricing, First-Day Returns, Long-Term Underperformance, Natural Experiment, Event Study

JEL Classification: G11, G14

Suggested Citation

Langer, Łukasz and Langer, Piotr and Roszkowska, Paulina, Pension Funds and IPO Pricing. Evidence from a Natural Experiment. (April 26, 2018). Available at SSRN: https://ssrn.com/abstract=3152562 or http://dx.doi.org/10.2139/ssrn.3152562

Łukasz Langer

University of California, Berkeley - Haas School of Business ( email )

PhD Program
2220 Piedmont Avenue
Berkeley, CA 94720
United States

Piotr Langer

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

Paulina Roszkowska (Contact Author)

Hult International Business School ( email )

1355 Sansome St
San Francisco, CA California 94111
United States

University of California, Berkeley - Haas School of Business ( email )

502F Faculty Building
2220 Piedmont Avenue
Berkeley, CA 94720
United States

Warsaw School of Economics (SGH) ( email )

aleja Niepodleglosci 162
PL-Warsaw, 02-554
Poland

Register to save articles to
your library

Register

Paper statistics

Downloads
71
Abstract Views
605
rank
326,754
PlumX Metrics