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

Jan Bo Jakobsen, Ole Vagn Sørensen

Research output: Contribution to journalJournal articleResearchpeer-review

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 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.
Original languageEnglish
JournalEuropean Financial Management
Volume7
Issue number3
Pages (from-to)393-417
Number of pages25
ISSN1354-7798
DOIs
Publication statusPublished - 2001

Keywords

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

Cite this

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title = "Decomposing and Testing Long-term Returns: An Application on Danish IPOS",
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 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.",
keywords = "Danmark, Aktiekurser, B{\o}rsintroduktion, Initial public offerings, Initial public offerings, Long-run returns, Right skewed distributions",
author = "Jakobsen, {Jan Bo} and S{\o}rensen, {Ole Vagn}",
year = "2001",
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journal = "European Financial Management",
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Decomposing and Testing Long-term Returns : An Application on Danish IPOS. / Jakobsen, Jan Bo; Sørensen, Ole Vagn.

In: European Financial Management, Vol. 7, No. 3, 2001, p. 393-417.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

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AU - Jakobsen, Jan Bo

AU - Sørensen, Ole Vagn

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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 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.

KW - Danmark

KW - Aktiekurser

KW - Børsintroduktion

KW - Initial public offerings

KW - Initial public offerings

KW - Long-run returns

KW - Right skewed distributions

U2 - 10.1111/1468-036X.00162

DO - 10.1111/1468-036X.00162

M3 - Journal article

VL - 7

SP - 393

EP - 417

JO - European Financial Management

JF - European Financial Management

SN - 1354-7798

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