Decomposing and Testing Long‐term Returns: an Application on Danish IPOs
提出一种改进的长期回报测量与检验方法，通过分解平均买入持有回报为均值成分和波动成分，调整右偏分布问题，并应用于丹麦IPO数据，发现5年后IPO股票相对市场表现差30%，相对匹配公司差13%但不显著。
An improved method for measuring and testing long‐run returns is proposed. The method adjusts for the right‐skewed distribution of long‐run buy‐and‐hold by decomposing average cross‐sectional buy‐and‐hold returns into mean components and volatility components. The method is applied to initial public offerings in Denmark. The mean‐component under performance of initial public offering stocks compared to the market is 30% and significant after 5 years. Compared to matching firms the under performance of IPO stocks is 13% after 5 years but insignificant.