Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach
| Autor: | Joanna Lizińska, Leszek Czapiewski |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Organizational Behavior and Human Resource Management
g14 Financial economics market anomalies HB1-3840 calendar-time portfolio approach 0502 economics and business Economic theory. Demography ipo 050207 economics Marketing 050208 finance long-term wealth effect 05 social sciences Equity (finance) Equity issuance g4 Market anomalies HG1-9999 capital market g32 Business Management and Accounting (miscellaneous) Portfolio g12 Business General Economics Econometrics and Finance Initial public offering Capital market Finance Calendar time |
| Zdroj: | Folia Oeconomica Stetinensia, Vol 19, Iss 1, Pp 43-55 (2019) |
| ISSN: | 1898-0198 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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