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

Jan Bo Jakobsen, Ole Vagn Sørensen

Research output: Contribution to conferencePaperResearch

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 languageEnglish
Publication date1999
Number of pages30
Publication statusPublished - 1999
EventEuropean Financial Management Association - Paris, France
Duration: 1 Jun 19991 Jun 1999

Conference

ConferenceEuropean Financial Management Association
CountryFrance
CityParis
Period01/06/199901/06/1999

Keywords

  • Initial public offerings
  • Long-run returns
  • Right skewed distributions

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