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Underpricing and long-term market performance of initial public offerings in Indonesia: A quantile regression approach

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  • Nugroho Sasikirono
  • Sumiati Sumiati
  • Nur Khusniyah Indrawati

Abstract

This study aims to identify the relationship between underpricing and long-term market performance of IPOs in the Indonesian Stock Exchange (IDX), as well as determinants of IPOs' market performance. We based our paper on the idea that it is more meaningful and relevant to investigate underpricing and long-term market performance determinants at different distribution points. OLS and quantile regression analysis isapplied to 105 samples of IPOs during 2009-2013. The results of OLS and quantile regressions indicate that assets value, age, proceeds, and underwriters’ reputation are determinants of long-term market performance; while assets, age and proceeds also become underpricing determinants. Among these factors, proceeds become the most important determinant of underpricing and long-term market performance.

Suggested Citation

  • Nugroho Sasikirono & Sumiati Sumiati & Nur Khusniyah Indrawati, 2018. "Underpricing and long-term market performance of initial public offerings in Indonesia: A quantile regression approach," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(1), pages 152-167, January.
    • Handle: RePEc:pdc:jrnbeh:v:14:y:2018:i:1:p:152-167
    DOI: 10.15208/beh.2018.13
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    More about this item

    Keywords

    Underpricing; long-term market performance; Indonesia; quantile regression.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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