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

Jan Bo Jakobsen; Ole Vagn Sørensen

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

Research output: Contribution to conference › Paper › Research

Abstract

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.

Original language	English
Publication date	1999
Number of pages	30
Publication status	Published - 1999
Event	European Financial Management Association - Paris, France Duration: 1 Jun 1999 → 1 Jun 1999

Conference

Conference	European Financial Management Association
Country/Territory	France
City	Paris
Period	01/06/1999 → 01/06/1999

Keywords

Initial public offerings
Long-run returns
Right skewed distributions

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Cite this

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

abstract = "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.",

keywords = "Initial public offerings, Aktieafkast, Initial public offerings, Long-run returns, Right skewed distributions",

author = "Jakobsen, {Jan Bo} and S{\o}rensen, {Ole Vagn}",

year = "1999",

language = "English",

note = "European Financial Management Association ; Conference date: 01-06-1999 Through 01-06-1999",

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T2 - European Financial Management Association

AU - Jakobsen, Jan Bo

AU - Sørensen, Ole Vagn

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N2 - 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.

AB - 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.

KW - Initial public offerings

KW - Aktieafkast

KW - Initial public offerings

KW - Long-run returns

KW - Right skewed distributions

M3 - Paper

Y2 - 1 June 1999 through 1 June 1999

ER -