IDEAS home Printed from https://ideas.repec.org/a/bla/eufman/v7y2001i3p393-417.html
   My bibliography  Save this article

Decomposing and Testing Long‐term Returns: an Application on Danish IPOs

Author

Listed:
  • Jan Bo Jakobsen
  • Ole Sørensen

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.

Suggested Citation

  • Jan Bo Jakobsen & Ole Sørensen, 2001. "Decomposing and Testing Long‐term Returns: an Application on Danish IPOs," European Financial Management, European Financial Management Association, vol. 7(3), pages 393-417, September.
    • Handle: RePEc:bla:eufman:v:7:y:2001:i:3:p:393-417
    DOI: 10.1111/1468-036X.00162
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-036X.00162
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-036X.00162?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:eufman:v:7:y:2001:i:3:p:393-417. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/efmaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.