한국데이터정보과학회:학술대회논문집
- 한국데이터정보과학회 2002년도 춘계학술대회
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- Pages.75-84
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- 2002
Measuring the Long-run Stock Returns to Investors
초록
This paper compares long-run returns of privatization initial public offerings to those of domestic stock markets of respective countries using a sample of 196 privatization initial public offerings from 39 countries. The evidence indicates that the privatization initial public offerings (IPOs) significantly outperform their domestic stock markets. There are substantial differences in the long-run performance of privatization IPOs depending on the return estimation techniques, however. Evidence indicates that the inference based either on conventional t or on skewness-adjusted t statistics may yield misspecified test statistics. The quality of estimation tends to be improved by simply eliminating the outliers from the sample, especially for the buy-and-hold abnormal return technique.
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