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2015 | nr 2 (85) | 139--166
Tytuł artykułu

Źródła długoterminowych anormalnych stóp zwrotu po pierwszych ofertach publicznych na rynkach Europy Środkowej i Wschodniej

Treść / Zawartość
Warianty tytułu
Sources of Long-Term Post - IPO Underperformance in Central and Eastern European Countries
Języki publikacji
PL
Abstrakty
Artykuł jest poświęcony zjawisku długookresowych anormalnych stóp zwrotu po pierwszych ofertach publicznych (IPO). Zaprezentowane badanie jest oparte na notowaniach ponad 1100 spółek z 11 krajów Europy Środkowej i Wschodniej z lat 2002-2014. Uzyskane wyniki świadczą o tym, że "stare akcje" osiągają lepsze wyniki inwestycyjne niż "akcje młodsze", ale wyłącznie w przypadku przyjęcia ryzyka rynkowego jako jedynego źródła ryzyka. Po uwzględnieniu efektów wielkości i wartości, okazuje się, że młode akcje nie są z punktu widzenia inwestorów ani lepsze, ani gorsze niż pozostałe firmy. Spółki wchodzące na giełdę charakteryzują się bowiem niższymi wskaźnikami wartości księgowej do rynkowej i znajdują się w znacznie lepszej sytuacji finansowej niż spółki notowane na niej od dłuższego czasu. Niemniej jednak po upływie 2-5 lat wskaźniki fundamentalne spółek ulegają pogorszeniu, a kondycja finansowa powraca do poziomu średniej rynkowej.(abstrakt oryginalny)
EN
The paper examines the long-term post-IPO performance and its sources in the Central and Eastern European (CEE) markets. We use sorting, cross-sectional tests, regression, and tests of a monotonic relation to investigate over 1100 stocks from 11 CEE countries for the period 2002-2014. We test the performance of portfolios of age-sorted stocks. "Old stocks" perform significantly better than "young stocks", but only if the market beta is the sole risk factor considered. After controlling for the size and value effects, the IPO firms do not reveal abnormal returns over non-issuing companies. The market newcomers have higher book-to-market ratios and are in better financial condition than their older counterparts. However, over a few years the financial conditions deteriorate.(original abstract)
Rocznik
Numer
Strony
139--166
Opis fizyczny
Twórcy
autor
  • Uniwersytet Ekonomiczny w Poznaniu
autor
  • Szkoła Główna Handlowa w Warszawie
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
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