Decomposing and Testing Long-run Returns: With an Application to Initial Public Offerings in Denmark

Jan Bo Jakobsen, Ole Vagn Sørensen

Publikation: KonferencebidragPaperForskning

Abstrakt

An improved method for measuring and testing long-run returns is proposed. The method adjusts for the right-skewed distribution of long-run buy-and-hold returns by decomposing average cross-sectional buy-and-hold returns into mean components and volatility components. The method is applied to initial public offerings in Denmark. The mean component under performance of initial public offering stocks compared to the market is 30 percent and significant after five years. Comparing to matching firms, the underperformance of IPO stocks is 13 percent after five years but insignificant.
OriginalsprogEngelsk
Publikationsdato1999
Antal sider30
StatusUdgivet - 1999
BegivenhedEuropean Financial Management Association - Paris, Frankrig
Varighed: 1 jun. 19991 jun. 1999

Konference

KonferenceEuropean Financial Management Association
LandFrankrig
ByParis
Periode01/06/199901/06/1999

Emneord

  • Initial public offerings
  • Aktieafkast

Citationsformater

Jakobsen, J. B., & Sørensen, O. V. (1999). Decomposing and Testing Long-run Returns: With an Application to Initial Public Offerings in Denmark. Afhandling præsenteret på European Financial Management Association, Paris, Frankrig.