Long-term performance of post-bankruptcy IPOs

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Jylhä, Petri
dc.contributor.author Maximova, Anna
dc.date.accessioned 2017-11-13T14:45:30Z
dc.date.available 2017-11-13T14:45:30Z
dc.date.issued 2017
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/28687
dc.description.abstract Purpose of the study The purpose of this study is to research stock market performance of 232 previous public companies emerging from bankruptcy and Chapter 11. Motivated by the contradicting evidence regarding performance of post-bankruptcy companies and the widely documented long-term underperformance of traditional IPOs, I study the long-term stock market performance and riskiness of post-bankruptcy IPOs. My first research question is whether the post-bankruptcy companies generate long-term returns that differ from long-term returns earned by non-post-bankruptcy companies. Further, motivated by the risk and return theory, I study whether the volatility of long-term returns produced by post-bankruptcy companies differs from the volatility of long-term returns gained by traditional IPOs. Data and methodology I construct the post-bankruptcy sample by employing Compustat to identify companies that appeared on US stock exchange twice during the years 1970-2016 and emerged from bankruptcy or Chapter 11. The control group, employed for the comparison of returns of a post-bankruptcy sample, consists of all the US IPOs undertaken during 1970-2016, which are collected from the SDC database. As a result, I study a post-bankruptcy sample of 232 companies and a control group sample of 8131 companies. The stock market data for both samples is collected from the CRSP database. I am examining return and volatility estimations within holding periods of 6, 12, 24, 36, 48, and 60 months after an IPO. First, returns and volatility variables of post-bankruptcy and non-post-bankruptcy companies are analyzed by a mean raw analysis. In the second stage, I continue with a simple linear regression analysis studying raw return and volatility variables, further extending the analysis to multivariate regression modelling by including control variables. In the third stage, I run robustness checks by researching market-adjusted return and volatility estimates to ensure robustness of results. Results By studying mean raw returns, simple linear and multivariable raw regression estimates, I find that the post-bankruptcy companies generate positive abnormal returns that are statistically insignificant. However, when examining market-adjusted returns, I do not find positive abnormal returns produced by post-bankruptcy companies. Thus, based on my analysis I conclude that post-bankruptcy companies generate long-term returns that are indifferent from long-term returns generated by traditional IPOs. Even more interestingly, studying both raw and market-adjusted estimates the analysis shows that post-bankruptcy companies are statistically significantly riskier compared to traditional IPOs, not supporting the risk and return equilibrium. en
dc.format.extent 66
dc.language.iso en en
dc.title Long-term performance of post-bankruptcy IPOs en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword post-bankruptcy companies en
dc.subject.keyword abnormal returns en
dc.subject.keyword market-adjusted return en
dc.subject.keyword market-adjusted volatility en
dc.identifier.urn URN:NBN:fi:aalto-201711137521
dc.type.ontasot Master's thesis en
dc.type.ontasot Maisterin opinnäyte fi
dc.programme Finance en
dc.subject.helecon rahoitus fi
dc.subject.helecon osakemarkkinat fi
dc.subject.helecon yritykset fi
dc.subject.helecon konkurssit fi
dc.subject.helecon suorituskyky fi
dc.subject.helecon tuotto fi
dc.subject.helecon kurssivaihtelut fi
dc.ethesisid 16055
dc.location P1 I fi


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