Table 2.4Quality of sponsors and aftermarket returns
Excess return (%)Risk adjusted return (%)Quality
HoldingLowHighF-statK–WLowHighdummy
periodqualityqualityH-statqualityquality(t-stat)
N-IPOs3275732757
1 Year⫺3.725.361.610.653.3314.2530.85
2 Years⫺4.4522.185.49
a
5.09
a
⫺16.275
b
12.9472.62
a
3 Years⫺9.5232.079.35
a
8.94
a
⫺13.61127.1603.32
a
4 Years⫺22.3029.6011.74
a
9.10
a
⫺10.93149.1483.68
a
5 Years⫺37.4018.5011.37
a
7.83
a
⫺47.306140.455
a
3.25
a
Panel A: CRI ranking. Equally weighted portfolios are composed on the basis of the quality of underwriters
(sponsors). Two measures of underwriter quality ...
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