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| Tekijä: | Hensler, D. |
| Otsikko: | The nature and persistence of initial public offering aftermarket returns predictability |
| Lehti: | Review of Quantitative Finance and Accounting
1998 : JAN, VOL. 10:1, p. 39-58 |
| Asiasana: | FINANCE ACCOUNTING MARKOV CHAINS |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the predictability of monthly aftermarket returns of initial public offerings during the first six years of trading. Predictability is tested under the null hypothesis of random walk using a Markov chain analysis. The evidence shows that excess returns of IPOs (adjusted for the return on the equally weighted NASDAQ index) demonstrate non-random walk behavior through the first five years of trading and random walk behavior in the sixth year. |
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