4 Short- and long-run performance of
IPOs traded on the Istanbul Stock
Exchange
Mehmet Orhan
Abstract
This chapter examines initial public offerings (IPOs) traded on the Istanbul Stock
Exchange (ISE). The underpricing of Turkish IPO sectors grouped under three categories
is examined. The returns of IPOs are calculated for different time periods to better visu-
alize underpricing in the short, medium and long term. Chow’s test is used to check for
structural changes in the regression of stock returns over market returns using the
Capital Asset Pricing Model (CAPM). Finally, cointegration relationships of the CAPM
are investigated for several IPO returns and market returns.
4.1 Introduction
Many companies offer their shares to the public to raise capital ...