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 percent and significant after five years.

Compared to matching firms the under performance of IPO stocks is 13 percent after five years

but insignificant.

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Paper provided by Copenhagen Business School, Department of Finance in its series Working Papers with number 2000-2.

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Length: 45 pages
Date of creation: 01 Nov 1999
Date of revision:
Handle: RePEc:hhs:cbsfin:2000_002

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Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark
Phone: +45 3815 3815
Email:
Web page: http://www.cbs.dk/departments/finance/
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Related research

Keywords: Market efficiency; initial public offerings; long-run returns; right skewed distributions; testing; volatility filtering.;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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1. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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   • Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December. [Downloadable!] (restricted)
2. John D. Lyon & Brad M. Barber & Chih-Ling Tsai, 1999. "Improved Methods for Tests of Long-Run Abnormal Stock Returns," Journal of Finance, American Finance Association, vol. 54(1), pages 165-201, 02. [Downloadable!] (restricted)
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4. Brav, Alon & Gompers, Paul A, 1997. " Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies," Journal of Finance, American Finance Association, vol. 52(5), pages 1791-1821, December. [Downloadable!] (restricted)
5. Rock, Kevin, 1986. "Why new issues are underpriced," Journal of Financial Economics, Elsevier, vol. 15(1-2), pages 187-212. [Downloadable!] (restricted)
6. Lee, Philip J. & Taylor, Stephen L. & Walter, Terry S., 1996. "Australian IPO pricing in the short and long run," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1189-1210, August. [Downloadable!] (restricted)
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9. Shaw, David C, 1971. "The Performance of Primary Common Stock Offerings: A Canadian Comparison," Journal of Finance, American Finance Association, vol. 26(5), pages 1101-14, December. [Downloadable!] (restricted)
10. Keloharju, Matti, 1993. "The winner's curse, legal liability, and the long-run price performance of initial public offerings in Finland," Journal of Financial Economics, Elsevier, vol. 34(2), pages 251-277, October. [Downloadable!] (restricted)
11. Loughran, Tim & Ritter, Jay R. & Rydqvist, Kristian, 1994. "Initial public offerings: International insights," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 165-199, May. [Downloadable!] (restricted)
    Other versions:
    • Loughran, Tim & Ritter, Jay R. & Rydqvist, Kristian, 1995. "Initial public offerings: International insights," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 139-140, May. [Downloadable!] (restricted)
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13. Ibbotson, Roger G., 1975. "Price performance of common stock new issues," Journal of Financial Economics, Elsevier, vol. 2(3), pages 235-272, September. [Downloadable!] (restricted)

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