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

  • Guillermo Yañez

    ()

    (Superintendencia de Valores y Seguros)

  • Carlos Maquieira

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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File URL: http://www.svs.cl/sitio/publicaciones/doc/Serie%20de%20documentos/paper_yanez_maquieira.pdf
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Paper provided by Superintendencia de Valores y Seguros in its series Serie de Documentos de Trabajo with number 02.

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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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  22. 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.
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