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

Cite this

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.
Jakobsen, Jan Bo ; Sørensen, Ole Vagn. / Decomposing and Testing Long-run Returns : With an Application to Initial Public Offerings in Denmark. Paper presented at European Financial Management Association, Paris, France.30 p.
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Jakobsen, JB & Sørensen, OV 1999, 'Decomposing and Testing Long-run Returns: With an Application to Initial Public Offerings in Denmark' Paper presented at, Paris, France, 01/06/1999 - 01/06/1999, .

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

1999. Paper presented at European Financial Management Association, Paris, France.

Research output: Contribution to conferencePaperResearch

TY - CONF

T1 - Decomposing and Testing Long-run Returns

T2 - With an Application to Initial Public Offerings in Denmark

AU - Jakobsen, Jan Bo

AU - Sørensen, Ole Vagn

PY - 1999

Y1 - 1999

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

UR - https://primo.kb.dk/permalink/f/10k3fbj/CBS01000232568

M3 - Paper

ER -

Jakobsen JB, Sørensen OV. Decomposing and Testing Long-run Returns: With an Application to Initial Public Offerings in Denmark. 1999. Paper presented at European Financial Management Association, Paris, France.