Advanced

A comparison of the long-run performance of Small Cap respective Large Cap stocks after conducting an IPO or SEO

Haraldson, Josephine LU and Nilsson, Hannah LU (2016) NEKN02 20161
Department of Economics
Abstract
This thesis covers the subject of long-run stock performance on the Swedish market. It focuses on abnormal returns after an IPO or SEO issuance. It investigates the differences between Small Cap and Large Cap stocks and separate tests are conducted for each group. Regressions are constructed to examine which independent variables that drive the return. The buy-and-hold abnormal return is used as the measure for long-run stock performance, and a time window of three years is applied. The study is based on data for the period 2005 to 2013. The findings of this study include a long-run underperformance of stocks after an IPO or SEO issuing. In addition, a significant difference in distribution between Small Cap and Large Cap stocks is found,... (More)
This thesis covers the subject of long-run stock performance on the Swedish market. It focuses on abnormal returns after an IPO or SEO issuance. It investigates the differences between Small Cap and Large Cap stocks and separate tests are conducted for each group. Regressions are constructed to examine which independent variables that drive the return. The buy-and-hold abnormal return is used as the measure for long-run stock performance, and a time window of three years is applied. The study is based on data for the period 2005 to 2013. The findings of this study include a long-run underperformance of stocks after an IPO or SEO issuing. In addition, a significant difference in distribution between Small Cap and Large Cap stocks is found, indicating that there is a difference in long-run performance between the two market caps. Lastly, this study finds evidence that Market Timing affects the Large Cap buy-and-hold abnormal return. These findings could potentially help to predict the performance of stocks after an equity issuance on the Swedish stock market. (Less)
Please use this url to cite or link to this publication:
author
Haraldson, Josephine LU and Nilsson, Hannah LU
supervisor
organization
course
NEKN02 20161
year
type
H1 - Master's Degree (One Year)
subject
keywords
BHAR, IPO, SEO, Abnormal Return, Long-run Stock Performance, Large Cap, Small Cap
language
English
id
8878058
date added to LUP
2016-06-13 14:16:46
date last changed
2016-06-13 14:16:46
@misc{8878058,
  abstract     = {This thesis covers the subject of long-run stock performance on the Swedish market. It focuses on abnormal returns after an IPO or SEO issuance. It investigates the differences between Small Cap and Large Cap stocks and separate tests are conducted for each group. Regressions are constructed to examine which independent variables that drive the return. The buy-and-hold abnormal return is used as the measure for long-run stock performance, and a time window of three years is applied. The study is based on data for the period 2005 to 2013. The findings of this study include a long-run underperformance of stocks after an IPO or SEO issuing. In addition, a significant difference in distribution between Small Cap and Large Cap stocks is found, indicating that there is a difference in long-run performance between the two market caps. Lastly, this study finds evidence that Market Timing affects the Large Cap buy-and-hold abnormal return. These findings could potentially help to predict the performance of stocks after an equity issuance on the Swedish stock market.},
  author       = {Haraldson, Josephine and Nilsson, Hannah},
  keyword      = {BHAR,IPO,SEO,Abnormal Return,Long-run Stock Performance,Large Cap,Small Cap},
  language     = {eng},
  note         = {Student Paper},
  title        = {A comparison of the long-run performance of Small Cap respective Large Cap stocks after conducting an IPO or SEO},
  year         = {2016},
}