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Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach

Author

Listed:
  • Lizińska Joanna

    (Poznań University of Economics and Business, Department of Corporate Finance, Al. Niepodległości 10, 61-875Poznań, Poland)

  • Czapiewski Leszek

    (Poznań University of Economics and Business, Department of Corporate Finance, Al. Niepodległości 10, 61-875Poznań, Poland)

Abstract

Research background: The study examines the performance of companies that are going public with equity issuance (IPO) in Poland.Purpose: Some scholars argue that the buy-and-hold strategy that has been quite widely used suffers from cross correlation and the “bad model” problem. Hence, the calendar-time portfolio approach is used to extend the methodology.Research Methodology: The empirical procedure is two-step. At the beginning, we calculate an average abnormal return for the portfolio of IPOs firms. The portfolio is rebalanced each month. Next, the risk-adjusted performance is measured by regressing returns on a multifactor time-series regression model. We employ the Fama-French (1993) three-factor model and CAPM for the robustness check.Results: In a sample of IPOs listed on the Warsaw Stock Exchange, we find negative and highly significant abnormal returns. Alphas are statistically significant in all of the Fama-French regressions and in most of the cases for CAPM.Novelty: This paper discusses the puzzle of the long-term equity performance of initial public offerings (IPOs) using the calendar-time portfolio approach. Our results point to the economic and statistical significance of long-term IPO underperformance.

Suggested Citation

  • Lizińska Joanna & Czapiewski Leszek, 2019. "Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 19(1), pages 43-55, June.
    • Handle: RePEc:vrs:foeste:v:19:y:2019:i:1:p:43-55:n:4
    DOI: 10.2478/foli-2019-0004
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    More about this item

    Keywords

    capital market; market anomalies; IPO; long-term wealth effect; calendar-time portfolio approach;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G4 - Financial Economics - - Behavioral Finance

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