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Author: | Jakobsen, J. B. Sörensen, O. |
Title: | Decomposing and testing long-term returns: an application on Danish IPOs |
Journal: | European Financial Management
2001 : SEP, VOL. 7:3, p. 393-417 |
Index terms: | FINANCIAL MANAGEMENT INVESTMENT RETURN ON INVESTMENT |
Language: | eng |
Abstract: | An improved method for measuring and testing long-run returns is proposed. The method adjusts for the right-skewed distribution of long-run buy-and-hold by decomposing average cross-sectional buy- and-hold returns into mean components and volatility components. |
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