Short Term IPO Returns in Stock Exchange of Thailand: The Study in 2003-2013

Laokulrach, Marisa

doi:10.7763/ijtef.2015.v6.452

Cited by 3 publications

(2 citation statements)

References 9 publications

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“…Following other studies (e.g., Berk & Peterle, 2015;Laokulrach, 2015), the underpricing of unseasoned new issues is measured through the initial return on stock i at the close of the first trading day. The MAAR is computed for stock i using the benchmark index (KSE) 3 at the first closing market price as follows:…”

Section: Estimation Of Underpricingmentioning

confidence: 99%

The Aftermarket Performance of Initial Public Offerings in Pakistan

Mumtaz

Smith

Ahmed

2016

LJE

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This paper estimates the aftermarket performance of initial public offerings (IPOs) listed on the Karachi Stock Exchange. The evidence confirms that IPOs generate statistically significant abnormal returns in the short run, which indicates that underwriters initially underprice IPOs when analyzed using a short time horizon. However, when using longer time horizons to estimate abnormal performance, the results indicate that IPOs underperform in the long-run. There is an apparent dislocation between the initial valuation set by underwriters and the premium paid by the market for these new issues. The market sentiment that causes this temporary disequilibrium eventually fades and the market reprices the newly issued shares. We conduct an extreme bounds analysis to test the sensitivity and robustness of 16 explanatory variables in determining the long-term performance of unseasoned newly issued shares. The results indicate that the long-term investment ratio, industry affiliation, market-adjusted abnormal returns, financial leverage, return on assets, IPO activity period, the aftermarket risk level of unseasoned issues, and the post-issue promoter’s holdings variables significantly affect IPOs’ aftermarket performance. Theoretically, the overreaction hypothesis, ex-ante uncertainty hypothesis and window-of-opportunity hypothesis best explain IPOs’ aftermarket performance in this study.

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Section: Estimation Of Underpricingmentioning

confidence: 99%

The Aftermarket Performance of Initial Public Offerings in Pakistan

Mumtaz

Smith

Ahmed

2016

LJE

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“…In case of inclusion event, the 0.89% abnormal return is positive on announcement date. And -0.75% one day after announcement for exclusion case (Laokulrach and Trisupinyo 2018).…”

Section: The Set Index Effect Studiesmentioning

confidence: 97%

Price effect of SET 50 stock from inclusion and exclusion

Sakunwanit

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Maximize profit is�the main goal for investor or securities manger. The study of price effect of included or excluded stock will be beneficial for them, in order to choose investment strategy or planning. In this paper, the market model method was constructed with financial�data between�2010 to�2020 from Stock Exchange of Thailand and Investing.com.�The results of the study are consistent with the previous studies. The AAR increase at the around announcement and effective date for inclusion but decrease for exclusion case.�The�CAAR is upward trend for inclusion case and negative trend for exclusion case. The analysis by beta value is found that the high beta value result in higher AAR and CAAR value. Lastly, the analysis by industry is found that the Agro&Food and Financial industry's CAAR value are�negative for inclusion case. However, the Technology industry's CAAR is positive for exclusion case.�

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