Professional Documents
Culture Documents
Bangladesh
By
Mahmood Osman Imam Ph.D.
Professor and Former Chairman
Department of Finance
University of Dhaka
1
IPO Anomalies
IPO Anomalies
ar=
it
rit rmt
where is the abnormal return for issue i in day t , is the raw
return on issue i in the event day t, and is the corresponding
return on the market index during the same time period.
The next step is to compute daily average abnormal returns
over the i = 1....n on day s as follows :
n
ARs = 1/nARis
i=1
Abnormal returns
92.00
90.00
88.00
86.00
84.46
84.29
84.00
82.83
82.00
83.03
81.90
80.00
78.00
76.00
1
15 (EQ Day)
16
17
Event Trading day
18
19
The use of
Methodology of documenting
Long-run Price Performance of IPO
arit
AR
CAR
i =1
(1 + arit ) 1]
i=s
Methodology of documenting
Long-run Price Performance of IPO
RiT
t =1
(1 + rit ) 1
where is the earlier of its delisting date or the end of the five
year window. For firms that went public near the end of our
sample period, the delisting date is no later than April, 2011,
since the return interval is truncated on this date.
1 n
RiT
n i =1
=
1 n
1 + RMT
n M =1
1+
30.0
20.0
10.0
0.0
-10.0
-20.0
-30.0
-40.0
-50.0
-60.0
0
10
20
30
40
50
60
Month of Seasoning
RawHP Return
10
11
12
b)
c)
13
14