UK IPOs: Long Run Returns, Behavioural Timing and Pseudo Timing

36 Pages Posted: 13 Jul 2010

See all articles by Alan Gregory

Alan Gregory

University of Exeter - Xfi Centre; University of Exeter Business School

Cherif Guermat

Bristol Business School

Fawaz Al-Shawawreh

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: 2009-11

Abstract

In this paper we examine a comprehensive set of 2,499 UK IPOs launched between mid-1975 and the end of 2004. We find compelling evidence of long run under-performance that persists for between 36 and 60 months post-flotation, depending on the precise method chosen to measure abnormal returns. Following Schultz (2003), we ask whether our results are consistent with ‘pseudo-timing’. Equally-weighted returns in calendar time provide further evidence of under-performance, a result that favours the Loughran and Ritter (2000) behavioural timing hypothesis rather than the Schultz (2003) pseudo-timing hypothesis. However, we show that this under-performance is concentrated in AIM and USM stocks. When we measure value-weighted returns in calendar time we find that abnormal returns are not significantly different from zero. Further analysis shows that, consistent with the findings of other studies, IPO under-performance is concentrated in smaller firms.

Suggested Citation

Gregory, Alan and Guermat, Cherif and Al-Shawawrah, Fawaz, UK IPOs: Long Run Returns, Behavioural Timing and Pseudo Timing (2009-11). Journal of Business Finance & Accounting, Vol. 37, Issue 5-6, pp. 612-647, June/July 2010, Available at SSRN: https://ssrn.com/abstract=1639212 or http://dx.doi.org/10.1111/j.1468-5957.2010.02182.x

Alan Gregory

University of Exeter - Xfi Centre ( email )

University of Exeter
Xfi Building, Rennes Dr.
Exeter, EX4 3BZ
United Kingdom

University of Exeter Business School ( email )

Streatham Court
Xfi Building Rennes Dr.
Exeter, EX4 4JH
United Kingdom

Cherif Guermat

Bristol Business School ( email )

Frenchay Campus
Bristol, BS16 1QY
United Kingdom

Fawaz Al-Shawawrah

affiliation not provided to SSRN ( email )

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