Long-term equity performance in Poland – searching for answers with the calendar-time portfolio approach

Joanna Lizińska , Leszek Czapiewski

Abstract

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 amultifactor 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
Author Joanna Lizińska (WZ / KFP)
Joanna Lizińska,,
- Department of Corporate Finance
, Leszek Czapiewski (WZ / KFP)
Leszek Czapiewski,,
- Department of Corporate Finance
Journal seriesFolia Oeconomica Stetinensia, ISSN 1730-4237, e-ISSN 1898-0198, (N/A 20 pkt)
Issue year2019
Vol19
No1
Pages43-55
Publication size in sheets0.6
Keywords in Polishrynek kapitałowy, anomalie rynkowe, IPO, długokresowa wycena, portfele kalendarzowe
Keywords in Englishcapital market, market anomalies, IPO, long-term wealth effect, calendar-time portfolio approach
DOIDOI:10.2478/foli-2019-0004
URL https://www.degruyter.com/downloadpdf/j/foli.2019.19.issue-1/foli-2019-0004/foli-2019-0004.pdf
Languageen angielski
Score (nominal)20
Score sourcejournalList
ScoreMinisterial score = 20.0, 07-04-2020, ArticleFromJournal
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