Prospectus disclosure and the stock market performance of initial public offerings (IPOs): the case of Thailand

This study examines if the prospectus disclosure of the motives for an initial public offering (IPO) explains the long-run performance of equity issuers using hand-collected data for 245 IPOs from the Stock Exchange of Thailand (SET), and also the Market for Alternative Investments (MAI), in the 12-year period between 2001 and 2012. The stock returns of the IPOs were investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). The authors find a significant impact for the level of use-of-proceeds disclosure on IPO underpricing, and further that the ex-ante uncertainty and signalling hypotheses explain the IPO underpricing phenomenon in the Thai IPO market. Furthermore, Thai firms citing investment needs show significant positive abnormal returns after the offering, but issuers that state general corporate purposes and debt payments motives underperform. The authors provide evidence that the offering size and bull-market conditions significantly affect the IPO pricing and the strategic disclosure of information in the prospectus. Our results are robust, having been subjected to a wide range of sensitivity checks. Keywords: Prospectus disclosure, IPO performance, Thailand. JEL Classification: G14, G30, G32

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An Empirical Analysis for Abnormal Returns from Initial Public Offerings (IPOs): evidence of Iranian oil and chemical industries

International Journal of Accounting and Financial Reporting ◽

10.5296/ijafr.v3i1.3048 ◽

2013 ◽

Vol 3 (1) ◽

pp. 143 ◽

Cited By ~ 1

Author(s):

Mahdi Filsaraei ◽

Alireza Azarberahman ◽

Jalal Azarberahman

Keyword(s):

Initial Public Offerings ◽

Capital Market ◽

Abnormal Return ◽

Stock Exchange ◽

Abnormal Returns ◽

Going Public ◽

Significance Level ◽

Public Offerings ◽

Positive Abnormal Return ◽

Chemical Companies

Purpose: The core purpose of this paper empirically study of the initial public offerings (IPOs) of companies accepted in oil and chemical industries. The paper attempts to answer the question of is there any abnormal return from IPOs in listed companies in Tehran Stock Exchange (TSE).Design/methodology/approach: This research is an applied research, and its design is empirical, which is done by the method of post-event (past information). For the purpose of the study the t-statistic, regression and variance analyses are applied to examine the hypotheses. We use in the analyses a sample of 29 newly accepted Iranian oil and chemical companies listed on TSE for the period of 2001 to 2012. This paper has studied abnormal return and three abnormal phenomena have been considered in capital market. These phenomena consist: (1) underpricing or overpricing of the firm's stock, (2) lower or higher stock return of the firms and (3) Particular period in market for stock transactions volume.Findings: The results support the hypothesis that there is a positive abnormal return to investing in the newly accepted oil and chemical firms for stockholders. It also shown the firm size is the only factor that can affect the stock abnormal return. With considering significance level, investors have to give attention sequentially to other variables such as stock ownership centralization, going public time and stock offering volume.

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ANALISIS PENGARUH HARGA SAHAM PERDANA TERHADAP ABNORMAL RETURN YANG DITERIMA INVESTOR STUDI PADA BURSA EFEK INDONESIA

10.31219/osf.io/8z7hx ◽

2019 ◽

Author(s):

Afriyeni Afriyeni ◽

Doni Marlius

Keyword(s):

Initial Public Offering ◽

Abnormal Return ◽

Sampling Method ◽

Stock Exchange ◽

Alternative Hypothesis ◽

Abnormal Returns ◽

Sampling Technique ◽

Real Rate ◽

Average Abnormal Return ◽

Public Offering

In this research uses empirical design, the goal is to determine how the effect of the initial public offering of the abnormal return earned by investors on the Stock Exchange went public in the period 2008-2010. This study is a population of all shares of listed companies on the Stock Exchange. The sampling technique used was purposive sampling method based sampling method with a consideration of certain criteria in order to obtain as many as 26 samples. Based on the statistical test results, it can be concluded that the initial public offering and a significant positive effect on abnormal returns earned by investors on the Stock Exchange, which can be seen from the alternative hypothesis is accepted. This means that the average abnormal return earned by investors on the Stock Exchange for the first six weeks of the companies that go public as many as 26 companies will be greater than 0 (zero) or positive. Overall average abnormal return earned by investors is positive, so that the average IPO price of 26 companies that went public in the year 2008 to 2010 is considered low (undervalued) or if the real rate of return higher than the return that expected.

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January Effect di Indonesia Periode 2017 – 2019

E-Jurnal Akuntansi ◽

10.24843/eja.2021.v31.i03.p18 ◽

2021 ◽

Vol 31 (3) ◽

pp. 756

Author(s):

Gusti Ayu Ratrini ◽

I Wayan Suartana

Keyword(s):

Stock Returns ◽

Abnormal Return ◽

Trading Volume ◽

Stock Exchange ◽

Abnormal Returns ◽

January Effect ◽

Rank Test ◽

Analysis Technique ◽

Significant Difference ◽

Signed Rank Test

The January Effect is one of the seasonal anomalies, which reveals that stock returns in January tend to be higher than in months other than January. This study aimed to examine and analyze the existence of the January effect using abnormal return and trading volume activity (TVA) variables. The presence of the January Effect was researched on companies listed on the Indonesia Stock Exchange (IDX) and continues to be included in the Investor33 Index during 2017-2019. The samples studied were 25 companies. It was selected using purposive sampling method. The results of the normality test showed that the data was not normally distributed. Thus, only the non-parametric test, namely the Wilcoxon Signed Rank Test, can be used as a data analysis technique. Based on the analysis conducted, it was found that there was a significant difference in abnormal returns and no significant difference in TVA in January and other than January. Therefore, it can be concluded that statistically, the January Effect occurred in Indonesia during the test period indicated by abnormal returns. Keywords: January Effect; Abnormal Return; TVA.

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Announcements Effect of Corporate Bond Issuance on Stock Returns: Evidence from Chile

Cuadernos de Administración ◽

10.25100/cdea.v37i71.11242 ◽

2021 ◽

Vol 37 (71) ◽

pp. e2411242

Author(s):

Edinson Edgardo Cornejo-Saavedra ◽

Jorge Andrés Muñoz Mendoza ◽

Carlos Leandro Delgado Fuentealba ◽

Sandra María Sepúlveda Yelpo ◽

Carmen Lissette Veloso Ramos

Keyword(s):

Stock Returns ◽

Abnormal Return ◽

Stock Return ◽

Stock Exchange ◽

Statistical Significance ◽

Abnormal Returns ◽

Corporate Bond ◽

Announcement Effect ◽

Santiago De Chile ◽

Average Abnormal Return

This study measures the announcement effect of corporate bond issuance on stock returns for companies listed on the Santiago de Chile Stock Exchange (BCS). The sample is made up of 29 firms and 87 corporate bond issuance announcements during the 2010-2017 period. The announcement effect of corporate bond issuance on stock return is measured by an event study. This methodology allows to calculate abnormal returns for the days of the event period. The results show that the average abnormal return on the day of the announcement is negative (between -0.09% and -0.03%), but it is not statistically significant. However, the average abnormal return on the day after the announcement is positive (between 0.27% and 0.32%) and has statistical significance. The significant and positive average abnormal return on the day after the announcement suggests a late market reaction. The study shows that there is a significant signaling effect of bond issuance announcements on stock returns.

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ANALISIS ABNORMAL RETURN SURAT BERHARGA PADA PENAWARAN PERDANA DI BURSA EFEK JAKARTA (PERBANDINGAN PERIODE SEBELUM DAN SELAMA KRISIS MONETER)

EKUITAS (Jurnal Ekonomi dan Keuangan) ◽

10.24034/j25485024.y2005.v9.i1.280 ◽

2018 ◽

Vol 9 (1) ◽

Author(s):

Tri Kartika Pertiwi

Keyword(s):

Standard Deviation ◽

Initial Public Offering ◽

Abnormal Return ◽

Stock Exchange ◽

Abnormal Returns ◽

Company Value ◽

Underwriter Reputation ◽

Monetary Crisis ◽

Return Difference ◽

Public Offering

The research about abnormal return of initial offering has been carried out by many other researchers. The results indicated that underpricing which signed by positive abnormal returns occurred in the short time. However, the effects that has caused underpricing was still indicate inconsistency. The objective of this research is to examine the differences of abnormal return between company that carry out initial public offering in the period before and during monetary crisis,with a special reference to Jakarta Stock Exchange. Furthermore, it also aims to find out effects of stock value uncertainty and company value that proxied by standard deviation and age, effect of informed demand proxied by delay time, and effect of underwriter reputation on abnormal return.Results indicated that there was significant abnormal return difference between the periods before and during monetary crisis. The factor that effected abnormal return in the period before monetary crisis was delay variable and underwriter reputation. The results was contrary with initial assumption. The significant factor that influenced abnormal return in the period during monetary crisis was standard deviation and age

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Aftermarket Performance of Health Care and Biopharmaceutical IPOs: Evidence From ASEAN Countries

INQUIRY The Journal of Health Care Organization Provision and Financing ◽

10.1177/0046958017727105 ◽

2017 ◽

Vol 54 ◽

pp. 004695801772710

Author(s):

Kulabutr Komenkul ◽

Santi Kiranand

Keyword(s):

Health Care ◽

Stock Returns ◽

Initial Public Offerings ◽

Stock Prices ◽

Abnormal Return ◽

Abnormal Returns ◽

The Philippines ◽

Market Model ◽

Long Run ◽

Asean Countries

We examine the evidence from the long-run abnormal returns using data for 76 health care and biopharmaceutical initial public offerings (IPOs) listed in a 29-year period between 1986 and 2014 in the Association of Southeast Asian Nations (ASEAN) countries such as Indonesia, Malaysia, Singapore, Thailand, the Philippines, Vietnam, Myanmar, and Laos. Based on the event-time approach, the 3-year stock returns of the IPOs are investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). As a robustness check, the calendar-time approach, related to the market model as well as Fama-French and Carhart models, was applied for verifying long-run abnormal returns. We found evidence that the health care IPOs overperform in the long-run, irrespective of the alternative benchmarks and methods. In addition, when we divide our sample into 5 groups by listing countries, our results show that the health care stock prices of the Singaporean firms behaved differently from those of most of the other firms in ASEAN. The Singaporean IPOs are characterized by a worse post-offering performance, whereas the IPOs of Malaysian and Thai health care companies performed better in the long-run.

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Exploring the Existence of Short-run Initial Public Offering (IPO) Underpricing at Three Different Stock Exchange Markets in Japan

Business and Economic Research ◽

10.5296/ber.v8i1.10125 ◽

2018 ◽

Vol 8 (1) ◽

pp. 253

Author(s):

Yoshiki Shimizu ◽

Hideki Takei

Keyword(s):

Initial Public Offering ◽

Stock Exchange ◽

Statistical Significance ◽

Research Question ◽

Abnormal Returns ◽

Efficient Market Hypothesis ◽

Ipo Underpricing ◽

Japanese Market ◽

Short Run ◽

Exchange Markets

This study conducted the examination of the short-run performance of IPO stocks in the Japanese market by measuring daily AAR/CAAR of sample IPO stocks.. The study did so, in order to detect the positive initial abnormal return of sample IPO stocks as well as the short-run IPO underpricing that was observed by Ibbotson (1975) and McDonald and Fisher (1972) in the US market, and Chang (2011) in the Taiwanese market. The finding was that unlike findings in prior research, this study did not discover the positive initial abnormal returns for sample IPO firms in the Japanese market on the event day with statistical significance. Thereby, the short-run IPO underpricing did not occur in the Japanese market and it is inferred that offer prices of IPOs in the Japanese market are priced rationally, reflecting all available pieces of information at the time of offering. The implication of this finding for Efficient Market Hypothesis is that in the short-run, market efficiency holds well for the Japanese market. Findings from the examination on short-run performance of IPO stocks in the Japanese market has enabled this study to answer the research question: Does short-run IPO underpricing exist at stock exchange markets in Japan? The answer is, the short-run IPO underpricing did not exist.

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ANALISIS ABNORMAL RETURN SURAT BERHARGA PADA PENAWARAN PERDANA DI BURSA EFEK JAKARTA (PERBANDINGAN PERIODE SEBELUM DAN SELAMA KRISIS MONETER)

EKUITAS (Jurnal Ekonomi dan Keuangan) ◽

10.24034/j25485024.y2005.v9.i1.2017 ◽

2017 ◽

Vol 9 (1) ◽

pp. 1

Author(s):

Tri Kartika Pertiwi

Keyword(s):

Standard Deviation ◽

Initial Public Offering ◽

Abnormal Return ◽

Stock Exchange ◽

Abnormal Returns ◽

Company Value ◽

Underwriter Reputation ◽

Monetary Crisis ◽

Return Difference ◽

Public Offering

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REASSESSING POLISH IPO UNDERPRICING AND UNDERPERFORMANCE

Acta Universitatis Lodziensis Folia oeconomica ◽

10.18778/0208-6021.310.05 ◽

2015 ◽

Vol 1 (310) ◽

Author(s):

Joanna Lizińska ◽

Leszek Czapiewski

Keyword(s):

Initial Public Offerings ◽

Stock Exchange ◽

Abnormal Returns ◽

Ipo Underpricing ◽

Public Offerings ◽

Warsaw Stock Exchange ◽

The Difference ◽

Term Performance ◽

Long Term Studies

The purpose of the research was to assess the price behavior of initial public offerings (IPO) of equities listed on the Warsaw Stock Exchange from 1996 to 2010. We also aimed to observe IPO underpricing and the underperformance phenomenon with different approaches. Short-term performance was analyzed with raw and adjusted initial returns. For the long-term, abnormal returns were compounded and cumulated. Different methods of outliers detection and ways of minimizing the detrimental effect of outliers were applied. In long-term studies, we also compared the results for the daily, weekly and monthly returns. IPO underpricing and underperformance on the WSE still remains substantial and significant, even accounting for the variety of methods applied. The difference in underpricing between the 1996–2004 and the 2005–2010 sample was insignificant. However, we reported statistically significant and economically important differences in underperformance between both samples.

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Layoffs and stock market performance during the COVID-19 pandemic: evidence from the US

Journal of Economic Studies ◽

10.1108/jes-05-2021-0224 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Christos Floros ◽

Maria Psillaki ◽

Efstathios Karpouzis

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Markets ◽

Trading Volume ◽

Negative Impact ◽

Stock Exchange ◽

Abnormal Returns ◽

Content Type ◽

Stock Market Performance ◽

Event Date

PurposeThe authors examine the short-term stock market reaction surrounding US layoffs during the coronavirus disease 2019 (COVID-19) period. The authors’ specific interest is on any changes that may be observed in US stock markets during the COVID-19 outbreak. This information will help us assess the extent to which policymakers adopted at time revenue and expenditures measures to minimize its negative impact.Design/methodology/approachThe authors study the linkage between layoffs announced by firms and stock markets in US for the COVID-19 period between March 2020 and October 2020. This period shows important economic figures; a huge number of job cuts announced by blue-chip companies listed in the New York Stock Exchange (NYSE) due to widespread economic shutdowns. The authors examine whether and to what extent stock markets in US have reacted to layoff announcements during the COVID-19 pandemic using an event-study methodology.FindingsThe study’s results show that US layoffs during the pandemic did not cause any abnormalities on the stock returns, either positive or negative. Based on the mean-adjusted volume, the authors find that layoffs increase the stocks' trading volume, especially on the event date and the day following the event. US stocks become more volatile on the days following the event. Interestingly, on the event date, the authors find that stocks get the highest abnormal volatility; however, the result is statistically insignificant.Practical implicationsThe authors suggest that layoffs announcements follow the business cycle quite closely in most industries. The study’s results have implications for investors, regulators and policymakers as they permit to examine the effectiveness of the measures adopted.Social implicationsThe study’s results show that policymakers reduced uncertainty implementing intensive measures quickly and should follow similar policy in the future pandemic and/or unexpected events.Originality/valueThis paper contributes to the literature in two directions: First, to the best of the authors’ knowledge this is the first study that provides empirical evidence and assesses the extent to which a major global shock such as the COVID-19 pandemic may have altered the reaction of US stock markets to layoff announcements. Second, this is the first study on this topic that examines volume and volatility abnormalities, while the authors check the robustness of the findings with different methods to calculate abnormal returns.

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