Huang, Ji (2011)
Ph.D. thesis, University of Birmingham.
This thesis investigates the long-term post-issue performance using a sample of 1,953 UK non-financial IPOs for the period of 1982-2004. Data is obtained from the LSPD. The main measure of performance includes buy-and-hold abnormal returns, cumulative abnormal returns, and calendar time regression intercepts. Our results indicate the mixed evidence on the long-term post-IPO stock performance. Event time analysis produce significant underperformance at five-year horizon while calendar time regression results show that IPOs perform as good as benchmarks. In conclusion, the relative long-term performance depends on the method and benchmark of examining performance. For example, most results based on BHAR measure suggest that the sample underperforms. Additionally, we assess the choice of data set on the conclusion of long-term post-IPO performance. We find that Datastream (DS) produces similar results as London Share Price Database (LSPD) if equal weight scheme is adopted. Additionally, there is insignificant discrepancy for the value weighted returns. Finally, the thesis reveals that two-stage IPOs do not underperform the benchmarks. Furthermore, two-stage IPOs have similar long-term performance compared to that of regular IPOs listed in AIM. Also, the underpricing for two-stage IPOs is less severe than regular IPOs.
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