The Performance of Newly Issued Stocks in Thailand

Abstract

This paper aims to examine the relative long-run performance of the newly issued stocks in the Stock Exchange of Thailand (SET). The sample of 325 newly issued stocks in Stock Exchange of Thailand during the year 1990 -2006 is filtered to 314 stocks by excluding the issues during the mid-1997 to 1998 Asian Financial Crisis period. 3-year and 5-year holding period returns of IPO portfolio are compared with those of the matching firms. In addition to the event study, the time series cross-sectional regressions are employed to investigate the long-run overpriced of newly issued stocks when controlling for size and Book-to-Market Value ratio. The overall results show that, relative to that of the size-matched portfolio, the long-run performance of portfolio consist of was underperformed by approximately 15% and 29% for the three-year holding period portfolio and five-year holding period portfolio, respectively.

Earnings Announcement, Abnormal Returns, and Market Efficiency in Indonesia Equity Market: An Analysis From Industrial Factor Perspective

“…Several studies tested the efficiency level of the Indonesian equity market from several perspectives. Several studies that analyzed daily closing prices (Shaik and Maheswaran, 2017;Aumeboonsuke, 2012) and monthly closing value (Hamid, Suleman, Shah, & Akkash, 2010) rejected market efficiency in the market. Andrianto and Mirza (2016) categorized the Indonesian stock market as in weak form of efficiency.…”