Dosen Fakultas Ekonomi Universitas Negeri Jakarta
Previous research found that long-run share price performance of Indonesian initial public offerings (IPOs) underperformed. My research gives new evidence that the long run performance depends on the methods used. Insignificant underperformance is found for equally-weighted cumulative abnormal returns (EWCARs) and value-weighted cumulative abnormal returns (VWCARs). Significant underperformance is found for equally-weighted buy-and-hold abnormal returns (EWBHARs). Significant outperformance is found for value-weighted buy-and-hold abnormal returns (VWBHARs). The underperformance disappears, however, when calendar-time approach is utilized. The intercepts in Fama-French three-factor regressions are insignificantly different from zero, suggesting no abnormal performance.
Keywords: Long-run performance, Initial Public Offerings, Fama-French Three Factor Model.