Portfolio-Based Benchmarks and the Long-Term Performance of SEOS for an Emerging Market
AbstractThe paper focuses on the long-term price performance after seasoned equity offerings (SEOs). In particular, the research contributes to the debate on the importance of the benchmark design in an emerging market. The choice of Indian SEOs as a sample allowed for constructing six benchmarks and comparing the results with the main market index. The study confirmed three-year underperformance for all of the benchmarks. However, the level of abnormal long-term returns appeared to be very sensitive to the benchmark. Interesting conclusions also emerged from differentiating the sample according to the level of the short-term underpricing, company and issue size, market sentiment, and mean volatility of prior returns. While the conventional view was that SEOs underperform in the long run, the research showed that average abnormal returns, differentiated according to firm and issue characteristics, were very sensitive to the reference portfolio
|Journal series||Argumenta Oeconomica, ISSN 1233-5835, (A 15 pkt)|
|Publication size in sheets||0.6|
|Keywords in English||seasoned equity offerings, abnormal returns, benchmark, market reaction, market anomalies|
|Score||= 15.0, 03-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 0.191; : 2017 = 0.178 (2) - 2017=0.222 (5)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.