Portfolio-Based Benchmarks and the Long-Term Performance of SEOS for an Emerging Market

Joanna Lizińska

Abstract

The 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
Author Joanna Lizińska (WZ / KFP)
Joanna Lizińska,,
- Department of Corporate Finance
Journal seriesArgumenta Oeconomica, ISSN 1233-5835, (A 15 pkt)
Issue year2018
No2 (41)
Pages423-435
Publication size in sheets0.6
Keywords in Englishseasoned equity offerings, abnormal returns, benchmark, market reaction, market anomalies
ASJC Classification1408 Strategy and Management; 2002 Economics and Econometrics
DOIDOI:10.15611/aoe.2018.2.18
URL https://www.dbc.wroc.pl/dlibra/publication/85641/edition/52806/content
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 03-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.191; WoS Impact Factor: 2017 = 0.178 (2) - 2017=0.222 (5)
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