Abstract

http://ssrn.com/abstract=527642
 
 

References (40)



 
 

Citations (8)



 


 



Is IPO Underperformance a Peso Problem?


Andrew Ang


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Li Gu


Columbia University

Yael V. Hochberg


National Bureau of Economic Research (NBER); Rice University - Jesse H. Jones Graduate School of Business

October 25, 2005


Abstract:     
Recent studies suggest that the underperformance of IPO's in the post-1970 sample may be a small sample effect or Peso problem. That is, IPO underperformance may be due to observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance that captures this intuition, by allowing returns to be drawn from mixtures of outstanding, benchmark, or poor performance. We estimate the model under the null of no ex-ante average IPO underperformance to construct small sample distributions of various statistics measuring IPO relative performance. We find that small sample biases are extremely unlikely to account for the magnitude of the post-1970 IPO underperformance observed in data.

Number of Pages in PDF File: 42

Keywords: IPO, long-run performance, small sample inference, peso problem

JEL Classification: G12, G14, G32

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Date posted: April 12, 2004  

Suggested Citation

Ang, Andrew and Gu, Li and Hochberg, Yael V., Is IPO Underperformance a Peso Problem? (October 25, 2005). Available at SSRN: http://ssrn.com/abstract=527642 or http://dx.doi.org/10.2139/ssrn.527642

Contact Information

Andrew Ang
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Li Gu (Contact Author)
Columbia University ( email )
3022 Broadway
New York, NY 10027
United States
Yael V. Hochberg
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Rice University - Jesse H. Jones Graduate School of Business ( email )
6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States
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