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Initial Public Offerings (IPO)
book

Initial Public Offerings (IPO)

by Greg N. Gregoriou
December 2005
Intermediate to advanced content levelIntermediate to advanced
464 pages
23h 14m
English
Butterworth-Heinemann
Content preview from Initial Public Offerings (IPO)
where R
jt
is the return of firm j in month t, N
pt
is the number of stocks that are in the
portfolio in that month t. Thus, we obtain the time series of the calendar portfolio
monthly returns from May 1987 (the first IPO in our sample) to December 2003
{R
p05/87
R
p12/03
}.
To measure and test the portfolio’s abnormal monthly mean return we apply the
Fama and French (1993) three-factor model to the time series of the portfolio’s
monthly returns. Then, we run the following time series regression:
R
pt
R
ft
α
p
β
1p
(R
Mt
R
ft
)
β
2p
HML
t
β
3p
SMB
t
ε
pt
t05/87, ... ,12/03,
(7.7)
where R
ft
is the 1-month Treasury bill (risk-free) rate of return, HML
t
is the difference
in returns ...
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Publisher Resources

ISBN: 9780750679756