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

Author

Listed:
  • Guillermo Yañez

    (Superintendencia de Valores y Seguros)

  • Carlos Maquieira

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.

Suggested Citation

  • Guillermo Yañez & Carlos Maquieira, 2009. "Rendimiento de Ofertas Públicas Iniciales de Acciones en Chile: Evidencia Empírica entre 1994 y 2007," Serie de Documentos de Trabajo 02, Superintendencia de Valores y Seguros.
    • Handle: RePEc:svs:svssdt:2009-2
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    More about this item

    Keywords

    IPO; Oferta Pública Inicial; Emisión de Acciones;
    All these keywords.

    JEL classification:

    • G3 - Financial Economics - - Corporate Finance and Governance
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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