Is the Abnormal Post-IPO Underperformance Really Abnormal? The Evidence from CEE Emerging Markets

Adam Zaremba , Adam Szyszka

Abstract

Using sorting procedures and cross-sectional tests, we investigate the long-run post-IPO performance and its sources in the Central and Eastern European (CEE) markets. We examine over 1100 stocks from 11 CEE countries for the period 2002–2014. We find that “old stocks” perform significantly better than “young stocks”, but only when the market beta is the sole risk factor considered. After accounting for the size and value effects, the IPO firms perform neither better nor worse than non-issuing companies. The sources of the initial low B/M ratios of debuting companies may lie in time-varying financial quality. The market newcomers are financially healthier than their older counterparts. However, over 2–5 years the fundamentals deteriorate and the financial standing regresses to the mean.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Adam Szyszka - Szkoła Główna Handlowa w Warszawie (SGH), MNiSW [80]
Adam Szyszka,,
-
Journal seriesEmerging Markets Finance and Trade, ISSN 1540-496X, (A 25 pkt)
Issue year2016
Vol52
No12
Pages2721-2739
Publication size in sheets0.9
Keywords in EnglishAge effect, asset pricing, CEE markets, Central and Eastern Europe, cross-section of stock returns, IPO, long-run underperformance, momentum effect, size effect, value effect
ASJC Classification2000 General Economics, Econometrics and Finance; 2003 Finance
DOIDOI:10.1080/1540496X.2016.1216988
URL https://www.tandfonline.com/doi/full/10.1080/1540496X.2016.1216988
Languageen angielski
Score (nominal)25
Score sourcejournalList
ScoreMinisterial score = 20.0, 10-01-2020, ArticleFromJournal
Ministerial score (2013-2016) = 25.0, 10-01-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.811; WoS Impact Factor: 2016 = 0.826 (2) - 2016=0.951 (5)
Citation count*8 (2020-08-03)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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