<abstract xmlns="http://www.w3.org/1999/xhtml"><bold>Research background:</bold> The study examines the performance of companies that are going public with equity issuance (IPO) in Poland.<bold>Purpose:</bold> 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.<bold>Research Methodology:</bold> 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 a multifactor time-series regression model. We employ the Fama-French (1993) three-factor model and CAPM for the robustness check.<bold>Results:</bold> 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.<bold>Novelty:</bold> 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.</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 a multifactor 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.

Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach

Poznań University of Economics and Business

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Research background: The study examines the performance of companies that are going public with equity issuance (IPO) in Poland.Purpose: Some scholars argue...

Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach

Published Online: Aug 06, 2019

Page range: 43 - 55

Received: Oct 22, 2018

Accepted: Mar 31, 2019

DOI: https://doi.org/10.2478/foli-2019-0004

Keywords
capital market, market anomalies, IPO, long-term wealth effect, calendar-time portfolio approach

© 2019 Joanna Lizińska et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach

Published Online: Aug 06, 2019

Page range: 43 - 55

Received: Oct 22, 2018

Accepted: Mar 31, 2019

DOI: https://doi.org/10.2478/foli-2019-0004

Keywordscapital market, market anomalies, IPO, long-term wealth effect, calendar-time portfolio approach

© 2019 Joanna Lizińska et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
capital market, market anomalies, IPO, long-term wealth effect, calendar-time portfolio approach