Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach

Lizińska Joanna () and Czapiewski Leszek ()
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Lizińska Joanna: Poznań University of Economics and Business, Department of Corporate Finance, Al. Niepodległości 10, 61-875Poznań, Poland
Czapiewski Leszek: Poznań University of Economics and Business, Department of Corporate Finance, Al. Niepodległości 10, 61-875Poznań, Poland

Folia Oeconomica Stetinensia, 2019, vol. 19, issue 1, 43-55

Abstract: Research background: The study examines the performance of companies that are going public with equity issuance (IPO) in Poland.Purpose: Some scholars argue that the buy-and-hold strategy that has been quite widely used suffers from cross correlation and the “bad model” problem. Hence, the calendar-time portfolio approach is used to extend the methodology.Research Methodology: The empirical procedure is two-step. At the beginning, we calculate an average abnormal return for the portfolio of IPOs firms. The portfolio is rebalanced each month. Next, the risk-adjusted performance is measured by regressing returns on a multifactor time-series regression model. We employ the Fama-French (1993) three-factor model and CAPM for the robustness check.Results: In a sample of IPOs listed on the Warsaw Stock Exchange, we find negative and highly significant abnormal returns. Alphas are statistically significant in all of the Fama-French regressions and in most of the cases for CAPM.Novelty: This paper discusses the puzzle of the long-term equity performance of initial public offerings (IPOs) using the calendar-time portfolio approach. Our results point to the economic and statistical significance of long-term IPO underperformance.

Keywords: capital market; market anomalies; IPO; long-term wealth effect; calendar-time portfolio approach (search for similar items in EconPapers)
JEL-codes: G12 G14 G32 G4 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:19:y:2019:i:1:p:43-55:n:4

DOI: 10.2478/foli-2019-0004

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