performance of the negative group. Positive-group IPOs also experience significant intra-day volatility in the after-market up to thirty days and it is the reverse for the negative group; but, whereas the negative group’s day-0 Ri is related to its post-IPO standard-deviation of returns in the after-market, they are unrelated for the positive group. Even the average holding-period return of the negative group (starting day-1, not day-0) becomes significant only after four years, while it is positive throughout for the positive group. Corresponding CARs - from day-1 onwards – continue to be positive for the positive group throughout and negative for the negative group up to two years, becoming statistically zero thereafter. Overall, in the long-run, however, a random IPO portfolio only yields a return equal to the market, if we ignore the day0 abnormal return. Unlike most other studies, we adjusted for risk of an IPO by taking its post-issue risk, assuming that the market had rationally anticipated how risky a share would be after the IPO. We measured risk by the CAPM-Beta, LPM (Lower Partial Moment)-Beta, Variance Ratio, and LPM2 (LPM of Order 2)-Ratio. We measured abnormal return by CAR (Cumulative Abnormal Return), where AR (Abnormal Return) was determined in a variety of ways, using the above risk measures – not all of which have been traditionally used by other researchers – and different models like the Market Model, CAPM, and LPM-CAPM.
