Arbeitspapier

IPO investment strategies and pseudo market timing

We analyse the performance of simple investment strategies in IPOs based on a large sample of IPOs in Germany between 1985 and 2002. In particular, we compare the performance of the following strategies: Invest equally weighted in each IPO, invest market value weighted in each IPO, invest in an equally weighted portfolio of recent IPOs or invest in a value weighted portfolio of recent IPOs. We find that investors pursuing the first two investment strategies would realise significantly negative abnormal returns on average. In contrast, applying a bootstrapping procedure, we find that investing according to the latter two investment strategies does not yield significant underperformance. The difference in performance among investment strategies points to the phenomenon that firms going public in hot IPO markets perform worse than those going public in cold markets. We analyse to what extent this phenomenon can be attributed to pseudo market timing. Based on simulations, our results indicate that pseudo market timing can partly explain the performance of IPO investment strategies between 1996 and 2002.

Sprache
Englisch

Erschienen in
Series: Internetökonomie und Hybridität ; No. 36

Klassifikation
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
Information and Market Efficiency; Event Studies; Insider Trading

Ereignis
Geistige Schöpfung
(wer)
Trauten, Andreas
Schulz, Roland C.
Ereignis
Veröffentlichung
(wer)
Westfälische Wilhelms-Universität Münster, European Research Center for Information Systems (ERCIS)
(wo)
Münster
(wann)
2006

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Trauten, Andreas
  • Schulz, Roland C.
  • Westfälische Wilhelms-Universität Münster, European Research Center for Information Systems (ERCIS)

Entstanden

  • 2006

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