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.
|Number of pages||30|
|Publication status||Published - 1999|
|Event||European Financial Management Association - Paris, France|
Duration: 1 Jun 1999 → 1 Jun 1999
|Conference||European Financial Management Association|
|Period||01/06/1999 → 01/06/1999|
- Initial public offerings
- Long-run returns
- Right skewed distributions
Jakobsen, J. B., & Sørensen, O. V. (1999). Decomposing and Testing Long-run Returns: With an Application to Initial Public Offerings in Denmark. Paper presented at European Financial Management Association, Paris, France.