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Rendimiento de Ofertas Públicas Iniciales de Acciones en Chile: Evidencia Empírica entre 1994 y 2007

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Author Info
Guillermo Yañez () (Superintendencia de Valores y Seguros, División de Estudios y Desarrollo de Mercados)
Carlos Maquieira

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Abstract

Este estudio presenta una medición y análisis del rendimiento de las ofertas públicas iniciales (IPO) en Chile en el período 1994-2007 siguiendo una metodología alternativa a aquella propuesta por Aggarwal, Leal y Hernandez (1993) en la década del ochenta. Utilizando información de serie de tiempo, proponemos ampliar las técnicas tradicionales de medición de retornos anormales tras IPO al uso de modelos de varianza condicional heterocedástica. Puntualmente, proponemos determinar la varianza condicional mediante el uso de una estructura GARCH-in-Mean y VECH popularizadas por Engle (1987) y Bollerslev, Engle & Wooldridge (1988), respectivamente.Los resultados obtenidos indican que Chile presenta rendimientos a corto plazo post-IPO menores a la mayoría de los estudios internacionales y retornos a largo plazo significativamente positivos, lo que contrasta con la hipótesis de retornos anormales negativos a largo plazo discutida en Ritter & Welch (1992), Jain & Kini (1994) y Aggarwal & Liu (2008), entre otros. La primera sección presenta la motivación y revisión de literatura. La segunda sección presenta estadísticas de IPO en Chile y su relación con las hipótesis tradicionales para este tipo de operaciones según lo descrito por Ritter (1998). La tercera sección presenta los resultados y nalmente, se incluyen conclusiones y recomendaciones.

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Publisher Info
Paper provided by Superintendencia de Valores y Seguros, División de Estudios y Desarrollo de Mercados in its series Serie de Documentos de Trabajo with number 2.

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Length: 48 pages
Date of creation: May 2009
Date of revision:
Handle: RePEc:svs:svssdt:2009-2

Contact details of provider:
Postal: Superintendencia de Valores y Seguros, Libertador Bernardo O´Higgins 1449 12th Floor ZIP Code 8340518 - Santiago - Chile
Phone: (56 2) 473 4000
Web page: http://www.svs.cl/
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Related research
Keywords: IPO; Oferta Pública Inicial; Emisión de Acciones;

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Find related papers by JEL classification:
G3 - Financial Economics - - Corporate Finance and Governance
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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    Other versions:
  3. Tinic, Seha M, 1988. " Anatomy of Initial Public Offerings of Common Stock," Journal of Finance, American Finance Association, vol. 43(4), pages 789-822, September. [Downloadable!] (restricted)
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    Other versions:
  7. Welch, Ivo, 1989. " Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings," Journal of Finance, American Finance Association, vol. 44(2), pages 421-49, June. [Downloadable!] (restricted)
  8. Kim, Woojin & Weisbach, Michael S., 2008. "Motivations for public equity offers: An international perspective," Journal of Financial Economics, Elsevier, vol. 87(2), pages 281-307, February. [Downloadable!] (restricted)
    Other versions:
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    Other versions:
  10. Rodolfo Martell & René M. Stulz, 2003. "Equity-Market Liberalizations as Country IPO's," American Economic Review, American Economic Association, vol. 93(2), pages 97-101, May. [Downloadable!]
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  11. Ibbotson, Roger G & Jaffe, Jeffrey F, 1975. ""Hot Issue" Markets," Journal of Finance, American Finance Association, vol. 30(4), pages 1027-42, September. [Downloadable!] (restricted)
  12. James C. Brau & Bill Francis & Ninon Kohers, 2003. "The Choice of IPO versus Takeover: Empirical Evidence," Journal of Business, University of Chicago Press, vol. 76(4), pages 583-612, October. [Downloadable!]
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  14. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August. [Downloadable!] (restricted)
  15. Benninga, Simon & Helmantel, Mark & Sarig, Oded, 2005. "The timing of initial public offerings," Journal of Financial Economics, Elsevier, vol. 75(1), pages 115-132, January. [Downloadable!] (restricted)
  16. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February. [Downloadable!] (restricted)
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  19. 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)
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  20. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  21. Torstila, Sami, 2003. "The Clustering of IPO Gross Spreads: International Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(03), pages 673-694, September. [Downloadable!]
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