Decomposing and Testing Long-term Returns: An Application on Danish IPOS

Jan Bo Jakobsen, Ole Vagn Sørensen

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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% and significant after 5 years. Compared to matching firms the under performance of IPO stocks is 13% after 5 years but insignificant.
OriginalsprogEngelsk
TidsskriftEuropean Financial Management
Vol/bind7
Udgave nummer3
Sider (fra-til)393-417
Antal sider25
ISSN1354-7798
DOI
StatusUdgivet - 2001

Emneord

  • Danmark
  • Aktiekurser
  • Børsintroduktion
  • Initial public offerings

Citer dette

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Decomposing and Testing Long-term Returns : An Application on Danish IPOS. / Jakobsen, Jan Bo; Sørensen, Ole Vagn.

I: European Financial Management, Bind 7, Nr. 3, 2001, s. 393-417.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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