پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 25 |
| تعداد شماره‌ها | 938 |
| تعداد مقالات | 7,696 |
| تعداد مشاهده مقاله | 12,622,256 |
| تعداد دریافت فایل اصل مقاله | 8,985,849 |
مدل های عاملی و کم بازدهی بلندمدت عرضه های اولیه | ||
| راهبرد مدیریت مالی | ||
| مقاله 1، دوره 12، شماره 1 - شماره پیاپی 44، فروردین 1403، صفحه 1-22 اصل مقاله (372.54 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2024.43320.2806 | ||
| نویسندگان | ||
| ایرج اصغری* 1؛ جواد شکرخواه2؛ محمد جواد سلیمی3؛ محمد مرفوع4 | ||
| 1استادیار گروه حسابداری، دانشکده کسب و کار، دانشگاه خلیج فارس، بوشهر، ایران | ||
| 2دانشیار گروه حسابداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران. | ||
| 3استادیار، گروه حسابداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران. | ||
| 4استادیار گروه حسابداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی ، تهران، ایران. | ||
| چکیده | ||
| پژوهش حاضر با استفاده از مدلهای عاملی و تحلیلهای سری زمانی به بررسی یکی از ناهنجاریهای مرتبط با عرضه‌های اولیه به نام پدیده "کم بازدهی بلند مدت عرضه‌های اولیه"، در بازارهای مالی ایران پرداخته است. پدیده مذکور به طور وسیع و در سه سطح 1-کل بازارهای مالی ، 2- بازارهای بورس و فرابورس تهران و 3- صنایع مختلف مورد بررسی و تحلیل قرار گرفته است. برای این منظور داده های 57 ماه بعد از تغییر مقررات عرضه عمومی سهام در بهمن ماه 1395 انتخاب و با 3 مدل عاملی متفاوت، شامل فاما و فرنچ (1993)، فاما و فرنچ (2015)، مدل هو و همکاران (2015) برای سه دوره 12و24 و 36 ماهه مورد بررسی و تحلیل قرار گرفتند. نتایج نشان داد عرض از مبدا مدلهای مورد بررسی در هیچ یک از دورهها و برای هیچ یک از مدلها و در هیچ یک از بازارها و صنایع معنی‌دار نبوده و از این رو میتوان مدعی شد در دوره های مورد بررسی، شواهد کافی جهت حمایت از پدیده کم یا پُربازدهی عرضه‌های اولیه در ایران وجود ندارد. | ||
| کلیدواژه‌ها | ||
| بازدهی بلند مدت؛ مدل های عاملی؛ عرضه های اولیه؛ پدیده کم بازدهی | ||
| عنوان مقاله [English] | ||
| Factor Models and Long-tern Underperformance of the IPOs | ||
| نویسندگان [English] | ||
| Iraj Asghari1؛ Javad Shekarkhah2؛ Mohammad Javad Salimi3؛ Mohammad Marfu4 | ||
| 1Assistant Professor, Department of Accounting, Faculty of Business, Persian Gulf University, Bushehr, Iran | ||
| 2Associate Prof, Department of Management and Accounting, Alameh Tabataba`i University (ATU), Tehran, Iran | ||
| 3Assistant Prof, Department of Management and Accounting, Alameh Tabataba`i University ( ATU(, Tehran, Iran. | ||
| 4Assistant Prof, Department of Management and Accounting, Alameh Tabataba`i University (ATU), Tehran, Iran. | ||
| چکیده [English] | ||
| Introduction According to the research literature of initial public offerings (IPOs), despite the high Performance of them in the short-term, their long-term performance will probably be lower than the average performance of the relevant market {or industry} and this issue, if confirmed, requires the special attention of capital market activists. By using factor models, the current research has focused on the long-term performance of IPOs and, accordingly, the phenomenon of their underperformance in the long-term. In particular, in order to create a broad and reliable insight into the phenomenon " long-term underperformance of IPOs”, analyzes have been carried out at various levels, including the market and industry levels. MATERIALS AND METHODS The research was conducted on 235 initial public offerings (IPOs) between February 2015 and December 2020 (57 months in total). The analyzes have been done with the approach of factor models and the use of monthly time series of portfolios consisting of initial public offerings (IPOs). To investigate the phenomenon of low or high Performance of IPOs, the intercept level of the models has been used. Due to the lack of agreement among researchers regarding the length of the long-term period of IPOs, this research has used three periods (12-24 and 36 months). Also, according to the existence of the different models explaining performance of the IPOs and the possible effects of the model on the results, three different and conventional models have been used, including Fama and French (2003 and 2015) and Hou et al.'s model (2015).The stock and over-the-counter markets have been investigated separately, and since the research data only made possible the portfolio of 4 chemical, pharmaceutical, agricultural, and basic metal industries, the analysis of industries was carried out only at the level of these 4 industries. RESULTS AND DISCUSSION Validation test of the models supported their validity and the results of fitting them showed that all the investigated models have adequate explanatory power and the minimum adjusted explanatory power (adj R2) is 69% and the maximum is 85%. As the definition of the long-term period becomes longer, their explanatory power decreases. IPOs move almost in line with the market, and the most important factor in predicting their return is market risk and profitability, and other factors have little effect on explaining the long-term return of IPOs. Regarding the investigation of the under-performance phenomenon, it should be said that sufficient evidence was not obtained to support the phenomenon of low or high performance of initial public offerings. And the intercept of the models in all periods and for all models lacked statistical significance. Breaking the data into the market and industries level did not create a special difference in the results. The analysis of the 4 mentioned industries showed the phenomenon is not statestically significant in any of the industries, although in the case of the chemical industry, a borderline significance level with a positive coefficient was obtained in some periods. Whether the IPOs are listed in stock market or over-the-counter (OTC), does not make a difference in their long-term performance. CONCLUSION The evidence of the current research does not support the existence of the phenomenon of “IPOs long-term underperformance” its reverse form (over- performance) in any of the tested cases, and the results for periods of more than one year (12-24 and 36 months) and for both stock and over-the-counter (OTC) markets and for all four industries (, chemical, pharmaceutical, agriculture and basic metals), are consistent and the model used, also has no effect on it so it must be said that the existence of under or over-performance of IPOs in Iran's financial markets is not confirmed. In more technical terms, in periods of more than one year, the market does not recognize the difference between the IPOS and the other companies due to factors other than known fundamental factors. This issue challenges the need to adjust individual decision-making models in the face of initial public offerings, and on the other hand, provides guidelines for use by legislators when legislating processes related to the capital market and especially initial offerings | ||
| کلیدواژه‌ها [English] | ||
| Long term performance, Factor models, Initial public offering (IPO), Under performance phenomenon | ||
|
سایر فایل های مرتبط با مقاله
|
||
| مراجع | ||
|
Abbasi, E., & Rajabpour, A. (2013). Measurment of stock liquidity criteria surrounding capital raising decisions. Journal of Investment Knowledge, 2.P 105-120. [In Persian]
Abdo Tabrizi, H., & Demouri, A. (2002). Identifying the effective factors on the long-term returns of stocks newly admitted to the Tehran Stock Exchange, Financial Research Journal, 5(15), 23.
Aflatooni, A. (2013). Statical Analysis in Financial Management and Accounting Research with Eviews Software, Tehran: Termeh Publications. [In Persian]
Aflatooni, A. (2015). Statical Analysis in Accounting and Finance Using Stata, Tehran: Termeh Publications. [In persian]
Ahmad‐Zaluki, N. A., Campbell, K., & Goodacre, A. (2007). The long run share price performance of Malaysian initial public offerings (IPOs). Journal of Business Finance & Accounting, 34(1‐2), 78-110.
Bagherzadeh, S., Nikbakht, M., Noravesh, I. (2011). The Initial Public Offerings Underpricing and Its Determinants in Tehran Stock Exchange, Management Research in Iran, 15(1), 85. [InPersian]
Bai, Y. (2018). Three empirical studies on the performance of firms involved in M&As and IPOs (Doctoral dissertation, University of Edinburgh).
BaniMahd, B., Arabi, M., & Hasanpour, SH, (2015). Empirical research and methodology in accounting, Tehran: Termeh Publications. [In Persian]
Bessler, W., & Kurth, A. (2004). The performance of venture-backed IPOs in Germany: Exit strategies, lock-up periods, and bank ownership. Lock-Up Periods, and Bank Ownership (September 2004).
Bessler, W., & Thies, S. (2007). The long‐run performance of initial public offerings in Germany. Managerial Finance, 33(6), 420-441.
Bolo, GH., Sohrabi Araqi, M., & Tataei, P. (2013). Compare the short- and long-term return of Asle 44 initial public offering with other IPOs and market return, Asset Management and Financing, 1(2), 87-102. [In Persian]
Brau, J. C., Couch, R. B., & Sutton, N. K. (2012). The desire to acquire and IPO long-run underperformance. Journal of Financial and Quantitative Analysis, 47(3), 493-510.
Brav, A., & Gompers, P. A. (1997). Myth or reality? The long‐run underperformance of initial public offerings: Evidence from venture and nonventure capital‐backed companies. The journal of finance, 52(5), 1791-1821.
Chandran, S. T. (2012). Liquidity levels and the long-run performance of initial public in South Africa (Doctoral dissertation, University of Pretoria).
Chemmanur, T., & Yan, A. (2007). Product market advertising, heterogeneous beliefs and the long-run performance of initial public offerings. Journal of Corporate Finance, 46, 1
Chen, A., Chen, L., & Kao, L. (2010). Leverage, liquidity and IPO long-run performance: evidence from Taiwan IPO markets.
Chen, H., & Zheng, M. (2021). IPO Underperformance and the Idiosyncratic Risk Puzzle. Journal of Banking & Finance, 106190.
Chi, J., Wang, C., & Young, M. (2010). Long-run outperformance of Chinese initial public offerings. Chinese economy, 43(5), 62-88.
Coste, L., (2020). Long-run performance of Initial Public Offerings and its determinants: Evidence from France. Unpublished Working Paper. EDHEC Business School, France.
Davallou, M., & Moslemi, E. (2017). IPOs Hot & Cold Markets, Journal of Securities Exchange, 10(39), 23-47. [In Persian]
Doukas, J. A., & Gonenc, H. (2005). Long‐term performance of new equity issuers, venture capital and reputation of investment bankers. Economic Notes, 34(1), 1-34.
Eckbo, B. E., & Norli, Ø. (2005). Liquidity risk, leverage and long-run IPO returns. Journal of Corporate Finance, 11(1-2), 1-35.
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22.
Fama, F, French, R, (1993). common risk factors in the returns on common stocks and bonds., the Journal of Financial Economics, Vol 33, pp 3-56
Gompers, P. A., & Lerner, J. (2003). The really long‐run performance of initial public offerings: The pre‐Nasdaq evidence. The journal of finance, 58(4), 1355-1392.
Hassannejad, M., Osoolian, M., Khalili, M. (2017). The effect of financial and non-financial factors on short term return of IPOs; Evidence from Tehran Stock Exchange, Journal of Securities Exchange, 11(41), 5-25. [InPersian]
Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An CMAestment approach. The Review of Financial Studies, 28(3), 650-705.
Huang, H. Y., Chiang, M. H., Lin, J. H., & Lin, Y. (2017). Fixed-price, auction, and bookbuilding IPOs: Empirical evidence in Taiwan. Finance Research Letters, 22, 11-19.
Jenkinson, T., Ljungqvist, A., & Ljungqvist, A. P. (2001). Going public: The theory and evidence on how companies raise equity finance. Oxford University Press on Demand.
Khodaparasti, A., Zamanian, GH., & Sanginian,A. (2014). Long-run and Short-run returns of Initial Public Offerings (IPOs) of public and private companies in Tehran Stock Exchange, Journal of Empirical Research in Accounting, 3(3), 179-200. [In Persian]
Kooli, M., & Suret, J. M. (2004). The aftermarket performance of initial public offerings in Canada. Journal of multinational financial management, 14(1), 47-66.
Kooli, M., Zhang, A., & Zhao, Y. (2022). How IPO firms' product innovation strategy affects the likelihood of post-IPO acquisitions? Journal of Corporate Finance, 72, 102159.
levis, J., 2011. The performance of private equity-backed IPOs. Financial Management 40, 253-277.
Loughran, T., & Ritter, J. (2004). Why has IPO underpricing changed over time? Financial management, 5-37.
Loughran, T., & Ritter, J. R. (2000). Uniformly least powerful tests of market efficiency. Journal of financial economics, 55(3), 361-389.
Mihov, V. T., & Ren, J. (2022). IPO Performance and Stochastic Dominance. Available at SSRN 4106899.
Modares, A., Askari, M. (2009). Identify Effective Factors on Long Term Abnormal Return of Initial Public Offerings (IPOs) in Tehran Stock Exchange, Journal of Securities Exchange, 2(5), 77. [InPersian]
Mohammadi, S, (1387). "Evaluation of the long-term performance of IPOs", Master's thesis, Shahid Beheshti University, Tehran, Iran. [In Persian]
Mohtadi, A., Hejazi, R., Hossani, A., Momeni, M. (2018), Application of Principle Component Analysis in Data Reduction of Variables Affecting Stock's Returns, the financial Accounting and Auditing Researches, 10(37), P 25-52. [InPersian]
Muller, R. (2021). The short-and long-term performance of Initial Public Offerings: Evidence from the Euronext stock exchanges (Doctoral dissertation).
Mumtaz, M. Z., & Ahmed, A. M. (2016). Long-run pricing performance of initial public offerings (IPOs) in Pakistan. Nust Journal of Social Science and Humanities, 2(2), 97-140.
Naderi, Sh., Espoukeh, J. (2016). Identify factors affecting on underpricing of Initial Public Offering (IPO) shares of listed companies Tehran Stock Exchange, Financial Knowledge of Securities Analysis, 9(31), 97-109. [InPersian]
Perera, W. (2018). Do Australian IPOs underperform in the long-run? Methodological Implications. Methodological Implications (May 13, 2018
Peter, S. (2007). Performance of initial public offerings and privatized offers: Evidence from a developing country. Managerial Finance.
Ritter, J. R. (1991). The long‐run performance of initial public offerings. The journal of finance, 46(1), 3-27.
Ritter, J. R. (2011). Equilibrium in the initial public offerings market. Annu. Rev. Financ. Econ., 3(1), 347-374.
Ritter, J. R., & Welch, I. (2002). A review of IPO activity, pricing, and allocations. The journal of Finance, 57(4), 1795-1828.
Roychoudhury, S. (2006). Three essays on IPO, liquidity, and corporate governance. Unpublished PhD dissertation, West Virginia University, United States.
Sadeghi Sharif, S., & Alsadat, M. (2019). Investigating the impact of earnings management on the long-term returns of initial public offerings using the Fama and French three-factor model in Tehran Stock Exchange, Financial Research Journal, 17(91). [In Persian]
Saghafim A. (2012), Accounting Theory, Tehran:Terme Publications.[In Persian]
Sahoo, S., & Rajib, P. (2010). After market pricing performance of initial public offerings (IPOs): Indian IPO market 2002–2006. Vikalpa, 35(4), 27-44.
Schultz, P. (2003). Pseudo market timing and the long-run underperformance of IPOs. Journal of Finance, 58, 483–517.
Sehgal, S. and B. Singh (2007) the Initial and Aftermarket Performance of Indian IPOs. Journal of Applied Finance, 13:11, 16-36.
Thomadakis S, Gounopoulos D, Nounis C (2012) Long term performance of greek IPOs. Eur Financ Manag 17:117–141
Zakari, M., & Jahankhani, A. (2016). “Analytical study of short-term and long-term returns of new stocks in Tehran Stock Exchange”, Master's thesis in Business Management, Shahid Beheshti University, Tehran, Iran. [In Persian]
Zhang, X., & Su, X. (2019). The Benefit of Going Public and IPO Underpricing: Evidence from the Loan Market. Essays on Empirical Corporate Finance, 89.
Zhou, L. J., & Sadeghi, M. (2021). The long‐run role of innovation in the IPO market: inhibition or promotion. Accounting & Finance, 61(2), 3735-3779. | ||
|
آمار تعداد مشاهده مقاله: 353 تعداد دریافت فایل اصل مقاله: 318 |
||
