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

Jan Bo Jakobsen, Ole Vagn Sørensen

Publikation: Working paperForskning

Resumé

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 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. Compared to matching firms the under performance of IPO stocks is 13 percent after five years but insignificant.
OriginalsprogEngelsk
Udgivelses stedFrederiksberg
UdgiverInstitut for Finansiering, Copenhagen Business School
Antal sider35
ISBN (Trykt)8790705327
StatusUdgivet - 2000
NavnWorking Papers / Department of Finance. Copenhagen Business School
Nummer2000-2
ISSN0903-0352

Emneord

  • Initial public offerings
  • Aktieudbytte
  • Aktieafkast

Citer dette

Jakobsen, J. B., & Sørensen, O. V. (2000). Decomposing and Testing Long-run Returns: With an Application to Initial Public Offerings in Denmark. Frederiksberg: Institut for Finansiering, Copenhagen Business School. Working Papers / Department of Finance. Copenhagen Business School, Nr. 2000-2
Jakobsen, Jan Bo ; Sørensen, Ole Vagn. / Decomposing and Testing Long-run Returns : With an Application to Initial Public Offerings in Denmark. Frederiksberg : Institut for Finansiering, Copenhagen Business School, 2000. (Working Papers / Department of Finance. Copenhagen Business School; Nr. 2000-2).
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Jakobsen, JB & Sørensen, OV 2000 'Decomposing and Testing Long-run Returns: With an Application to Initial Public Offerings in Denmark' Institut for Finansiering, Copenhagen Business School, Frederiksberg.

Decomposing and Testing Long-run Returns : With an Application to Initial Public Offerings in Denmark. / Jakobsen, Jan Bo; Sørensen, Ole Vagn.

Frederiksberg : Institut for Finansiering, Copenhagen Business School, 2000.

Publikation: Working paperForskning

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KW - Volatility filtering

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Jakobsen JB, Sørensen OV. Decomposing and Testing Long-run Returns: With an Application to Initial Public Offerings in Denmark. Frederiksberg: Institut for Finansiering, Copenhagen Business School. 2000.