IPO ETFs: An Alternative Way to Enter the Initial Public Offering Business
This chapter focuses on the initial public offerings (IPO) ETFs, which constitute an alternative way to enter the IPO business. Short- and long-term performance of ETFs is examined vis-a-vis the performance of major market indices. Three types of returns are computed; the absolute, benchmark-adjuste...
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| Autor principal: | |
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| Formato: | Capítulo de libro |
| Lenguaje: | inglés |
| Publicado: |
IntechOpen
2020
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| Materias: | |
| Acceso en línea: | https://www.intechopen.com/chapters/70845 |
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| Sumario: | This chapter focuses on the initial public offerings (IPO) ETFs, which constitute an alternative way to enter the IPO business. Short- and long-term performance of ETFs is examined vis-a-vis the performance of major market indices. Three types of returns are computed; the absolute, benchmark-adjusted, and abnormal return. Returns are computed for the initial trading day and for the first 2, 3, 4, 5, 21, and 63 trading days. Long-run returns are also calculated for the first 6, 12, 18, and 24 months of trading and for the entire history of ETFs up to October 31, 2016 from a cumulative and a buy-and-hold perspective. Risk-adjusted returns are estimated with a six-factor model. The results indicate that the average first-day return is positive but below 1%. In the long run, the cumulative absolute returns are positive during the several intervals examined, whereas the cumulative benchmark-adjusted and abnormal returns are positive only for the first 6 months of trading. These returns become negative after the first 6 months. Going further, ETFs deliver significant buy-and-hold returns over the several periods examined. Finally, the results reveal that just one out of the four IPO ETFs examined can produce a robust and statistically significant alpha. |
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| ISBN: | 978-1-83962-486-5 |
| DOI: | 10.5772/intechopen.90269 |