AN EMPIRICAL STUDY OF THE IMPACTS OF MARKET CAPITALIZATION UPON THE LONG-TERM PERFORMANCE OF THE RUSSIAN IPO
Keywords:
IPOs, Russian IPOs, Financial Management, Stock market, InvestmentsAbstract
This research paper aimed at analyzing the long-run performance of Russian Initial Public Offerings (IPOs). Long-term performance after 5 years was determined by noting the degree to which stocks under study had under-or over-performed. The sample consists of monthly data regarding IPOs within the Russian Federation from 2007 to 2011 and was gathered from a range of published sources. It was found that there was long-term over-performance within the sample studied. Additionally, it was found that the causative factor responsible for the biggest impact on Russian IPOs observed was market capitalization.
Downloads
References
Aggarwal, R., Leal, R., and Leonardo, H. (1993)."Тhe Aftermarket Performanее of Initial Public Offerings in Latin America”, Fiпancial Management, Spring. Pp. 42-53.
Gompers, R A., and Lerner, J. (2003). “The really long-run performance of initial public offerings: The pre-NASDAQ evidence”. Journal of Finance. Pp. 1355-1392.
Barber, B.M, and Lyon, J.D. (1997). “Detecting Long-Run Abnormal Returns: The Empirical Powerand Specification of Test Statistics”. Journal Of Financial Economics.Vol .43. 3. Pp. 341-372.
Berk, R. A., Hoffman, D. M., Maki, J. E., Roma, D., & Wong, H. (1979).”Estimation procedures for pooled cross-sectional and time series data”. Evaluation Quarterly. 3.Pp. 385-411.
Carter, R. B., Dark, F.H., and Singh, A.K. (1998). “Underwriter reputation, initial returns and the long-run performance of IPO stocks”. Journal of Finance. 53. 285-311.
Chan, K., Wang, J.B., and Wei, K.C. (2004). “Under pricing and long-term performance of IPOs in China”. Journal of Corporate Finance. 10. Pp. 409-430.
Coupet, E. (2003). “Investment and corruption: a look at causality”. Journal of the Academy of Business and Economics. Available at:http://articles.findarticles.com/p/articles/mi_m0OGT/is_2_1/ai_113563602
Erdil, E, & Yetliner,E., and Hakan, I. (2004). “A panel data approach for income-health causality.
Graham, J., Harvey, C., and Rajgopal, S. (2005). “The economic implications of corporate financial reporting”. Journal of Accounting Economics. 40. Pp. 3-73.
Granger, C. W. J. (1969). “Investigating causal relations by econometric models and crossspectralmethods”. Econometrica 37:424-38
Gujarati, D.N. (1995) Basic Econometrics. 3rd Edn. McGraw-Hill: New York.
Keloharju, M. (1993). “The Winner's Curse, Legal Liability, and the Long-Run Price Performance of Initial Public Offerings in Finland”. Journal of Financial Economics. 34. Pp. 251-277.
Kothari, S.P., and Warner, J.(1997). “Measuring Long-horizon Security Price Performance”. Journal of Financial Economics. Vol. 43. 3. Pp. 301-339.
Hoffman, R. G, Lee C., Ramasami, B., & Yeung, M. “FDI and pollution – a Granger causality test using panel data”. Nottingham University Business School, University of Nottingham. Available at: http://www.nottingham.edu.my/business/RePEc/nom/ceabur/pollution.pdf
Levis, M. (1993). “The long-run performance of initial public offerings: The UK experience 1980-1988”. Financial Management. P.p. 28-41.
Ljungqvist, A. P. (1997). “Pricing Initial Public Offerings: Further Evidence from Germany”. European Economic Review. 41. Pp.1309-1320.
Loughran, T., and Ritter, J. R. (1995). “The new issue puzzle”. Journal of Finance. 50. Pp. 23-51.
Lyon, J.B., Barber, B., and Tsai, C.L. (1999). “Improved methods for Tests of Long-Run Abnormal Stock Returns”. Journal of Finance 54. No 1. Pp. 165-201.
Marvell, Thomas A. and Moody, Carlisle E. (1996). “Specification problems, police levels, and crime rates”. Criminology. 34(4). Pp. 63-65. Available at: http://proquest.umi.com/pqdweb?index=0&did=000000010497331&SrchMode=1&sid=3&Fmt=4&Vinst=PROD&Vtype=PQD&RQT=309&Vname=PQD&TS=1096859159&clientId=29440
Ritter, J. R. (1991). “The long-run performance of initial public offerings”. Journal of Finance. 46. Pp. 3-27.
Stigler, G. (1964). “Public regulation of securities markets”. Journal of Business of the University of Chicago. 37. Pp. 117-142.
Working paper FNU-47”. Available at:
http://proquest.umi.com/pqdweb?index=0&did=000000010497331&SrchMode=1&sid=3 &Fmt=4&Vinst=PROD&Vtype=PQD&RQT=309&Vname=PQD&TS=1096859159&clientId=29440
