Market Efficiency and Predictable Supply Shocks: Short-Selling Returns Around IPO Lockups

This paper examines whether predictable post-listing restricted-share events are associated with short-selling returns. Using Yahoo Finance price data, a systematic backtest was conducted on 26 usable events from a 27-event candidate universe spanning 2020-2025. The pre-specified trade enters at the close three trading days before the event reference date and exits at the close three trading days after it. The T+3 rule produced a 58% win rate, a 4.07% average raw short return, and a 4.42% average market-adjusted return. The standard deviation of market-adjusted returns was 12.31%, and the conventional 95% t interval ranged from -0.55% to 9.39%. The interval includes zero, so the results are suggestive rather than conclusive. These estimates identify an association in a selected historical sample, not a causal effect or directly executable excess return. Borrow fees, transaction costs, slippage, and share availability could materially reduce realized performance.