The long-run underperformance of initial public offerings: A methodological problem? (original) (raw)
2005, Revista de Economía Aplicada
El objetivo de este estudio es analizar el comportamiento a largo plazo de las OPIs realizadas en el mercado español de capitales. Dado que el método de cálculo del rendimiento influye tanto en la magnitud del rendimiento anormal, como en el tamaño y potencia de los tests estadísticos, hemos utilizado diferentes métodos, con el objeto de examinar la robustez del comportamiento a largo plazo de las OPIs con respecto a varias especificaciones del modelo. Los resultados del estudio muestran que la existencia de bajo rendimiento a largo plazo para las OPIs españolas depende de la metodología utilizada. Así, existe bajo rendimiento a largo plazo cuando se utilizan rentabilidades equiponderadas de comprar y mantener, aunque depende del test estadístico considerado, y no cuando se utilizan carteras calendario o rentabilidades de comprar y mantener ponderadas por capitalización. Palabras clave: oferta pública inicial (OPI), rentabilidad a largo plazo, BHAR, carteras calendario. Clasificación JEL: G10, G12 y G14. S tudies that have analysed firms going public have revealed, with more or less homogeneity, the existence of two anomalies: underpricing and long-run underperformance. This paper focuses on the second of these namely, that investors seem to obtain losses due to holding shares of the firms that have recently carried out an IPO, compared to those firms that have not done so ]. Recently, papers such as Barber
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