Perera, Kotalawala Liyanage Wasantha (2014) Evaluation of Market Performance of Initial Public Offerings (IPOs) and Its Determinants: Evidence from Australian IPOs. PhD thesis, Victoria University.

Abstract

To determine whether Australian initial public offerings (IPOs) underprice in the short run and underperform in the long run, and to identify their determinants, this study investigated the short-run and the long-run stock market performance of 254 IPOs listed during 2006 to 2011 by industry and year (listing and issue). To measure their short-run performance, the first listing day returns were divided into the primary market, which was calculated based on the first-day beginning prices and issue prices; the secondary market, which was estimated based on the first-day closing and opening prices; and the total market, which was calculated based on the first-day closing prices and issue prices. The investigation was then extended to a post-day listing analysis that included returns of up to nine trading days. To measure their long-run market performance, the return measures were calculated under equally weighted and value-weighted schemes up to the three post-listing years using an event-time approach. To identify the determinants of short-run and long-run market performance, this study estimated binary and multiple regression models with offer, firm and market characteristics. Marginal probability analysis was also carried out to estimate the associated probability of each determinant that indicated a directional change in market performance.

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