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    Examining The Existence of Long-Run Initial Public Offering (IPO) Underperformance at Three Different Stock Exchange Markets in Japan

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    riddhi thummar
    This study examined the long-run performance of initial public offering (IPO) stocks on three Japanese stock exchanges - TOPIX, TSE-2ND, and MOTHERS - between 2004 and 2011. The results showed that IPO stocks on TOPIX and TSE-2ND did not underperform the market in the long-run, as their cumulative average abnormal returns 36 months after going public were not statistically significant. However, IPO stocks on MOTHERS significantly underperformed the market between months 2 and 36, with a cumulative average abnormal return of -30.08% at month 36. This suggests market efficiency held at TOPIX and TSE-2ND but not at MOTHERS, where long-

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    Examining The Existence of Long-Run Initial Public Offering (IPO) Underperformance at Three Different Stock Exchange Markets in Japan

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    riddhi thummar
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    This study examined the long-run performance of initial public offering (IPO) stocks on three Japanese stock exchanges - TOPIX, TSE-2ND, and MOTHERS - between 2004 and 2011. The results showed that IPO stocks on TOPIX and TSE-2ND did not underperform the market in the long-run, as their cumulative average abnormal returns 36 months after going public were not statistically significant. However, IPO stocks on MOTHERS significantly underperformed the market between months 2 and 36, with a cumulative average abnormal return of -30.08% at month 36. This suggests market efficiency held at TOPIX and TSE-2ND but not at MOTHERS, where long-

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    This study examined the long-run performance of initial public offering (IPO) stocks on three Japanese stock exchanges - TOPIX, TSE-2ND, and MOTHERS - between 2004 and 2011. The results showed that IPO stocks on TOPIX and TSE-2ND did not underperform the market in the long-run, as their cumulative average abnormal returns 36 months after going public were not statistically significant. However, IPO stocks on MOTHERS significantly underperformed the market between months 2 and 36, with a cumulative average abnormal return of -30.08% at month 36. This suggests market efficiency held at TOPIX and TSE-2ND but not at MOTHERS, where long-

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    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    24 views1 page

    Examining The Existence of Long-Run Initial Public Offering (IPO) Underperformance at Three Different Stock Exchange Markets in Japan

    Uploaded by

    riddhi thummar
    This study examined the long-run performance of initial public offering (IPO) stocks on three Japanese stock exchanges - TOPIX, TSE-2ND, and MOTHERS - between 2004 and 2011. The results showed that IPO stocks on TOPIX and TSE-2ND did not underperform the market in the long-run, as their cumulative average abnormal returns 36 months after going public were not statistically significant. However, IPO stocks on MOTHERS significantly underperformed the market between months 2 and 36, with a cumulative average abnormal return of -30.08% at month 36. This suggests market efficiency held at TOPIX and TSE-2ND but not at MOTHERS, where long-

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    Examining the Existence of Long-run Initial Public Offering (IPO)

    Underperformance at Three Different Stock Exchange Markets in


    Japan
    Yoshiki Shimizu, Hideki Takei

    Abstract

    This study conducted the examination of the long-run performance of IPO stocks in the Japanese market by
    measuring the monthly AAR/CAAR of sample IPO stocks. The study did this, so as to investigate whether
    IPO stocks in the Japanese market outperform in the long-run, as prior research on this phenomenon in the
    US market (Ritter, 1991; McDonald and Fisher, 1972) had found. The finding is that on the one hand, at
    TOPIX and TSE-2ND, stocks IPO firms that went public during 2004 to 2011 did not underperform the
    market in the long-run, as the monthly CAAR of sample IPO stocks on month 36 was not statistically
    significant. On the other hand, the finding also reveals that at MOTHERS, IPO firms underperformed the
    market throughout the period between months 2 and 36, and the monthly CAAR of IPO stocks at this
    market was 30.08 percent on month 36. The implication of this finding for the Efficient Market Hypothesis
    is that market efficiency held well at TOPIX and TSE-2ND; where during the sampling period abnormal
    returns could not be achieved and thus the long-run IPO underperformance was unlikely to occur. On the
    contrary, the departure from market efficiency was observed at MOTHERS: In the long-run, IPO stocks kept
    experiencing negative abnormal returns, and the existence of the long-run IPO underperformance was found
    to be significant. Long-run IPO underperformance did not exist, with only one exception: It is only at
    MOTHERS that the long-run IPO underperformance was observed, whereas at TOPIX and TSE-2ND the
    phenomenon was not observed.

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