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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP4597 |
DP4597 Explaining Anglo-German Productivity Differences in Services Since 1870 | |
Stephen Broadberry | |
发表日期 | 2004-09-23 |
出版年 | 2004 |
语种 | 英语 |
摘要 | The average firm going public or issuing new equity underperforms the market in the long run. A potential explanation of this long-run underperformance has to do with the endogeneity of the number of new issues. That is, due to the clustering of events after periods of high abnormal returns in issues, ex post measures of average abnormal returns may be negative on average despite zero ex ante abnormal returns. This could lead one to incorrectly infer underperformance. We provide a thorough evaluation of the endogeneity problem in event studies as it relates to long-run underperformance and undertake both theoretical and simulation analyses. We argue that it is unlikely that the endogeneity of the number of new issues explains the long-run underperformance in equity issuances. |
主题 | Financial Economics |
关键词 | Abnormal return measures Endogenous events Event studies Initial public offerings Long-run underperformance Pseudo market timing |
URL | https://cepr.org/publications/dp4597 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533518 |
推荐引用方式 GB/T 7714 | Stephen Broadberry. DP4597 Explaining Anglo-German Productivity Differences in Services Since 1870. 2004. |
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