<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>This paper examines and reviews the fundamental challenges that academicians face when using the event study methodology to assess the long-term consequences of financial events on the economy and to describe market reactions. Numerous studies have demonstrated that businesses can experience abnormal returns from 1 to 5 years after major financial events. Also, this paper investigates the long-run price performance of initial public offerings (IPOs) in Amman Stock Exchange (ASE). The sample period expands from 2018 to 2022. Various findings are obtained by employing several analytical methods. First, long-run price performance of IPOs is negative, and a strong evidence shows that the long-run performance is sensitive to the benchmark employed. To assess the long-term performance of IPOs, I used both cumulative abnormal returns (CAR) and buy-and-hold abnormal returns (BHAR) as aggregated models. I explained the methodology which is adopted in this study in detail for the event–time approach. However, I used the crucial values for the skewness-adjusted t-statistic to infer statistical tests. Even though BHAR provided weaker results, all methods indicated negative long-run abnormal returns for IPOs. Yet this performance varied when comparing the performance utilizing ASEI, Fama–French three-factor (FF3F), and matching firm (MF) as benchmarks.</p>
</abstract>

This paper examines and reviews the fundamental challenges that academicians face when using the event study methodology to assess the long-term consequences of financial events on the economy and to describe market reactions. Numerous studies have demonstrated that businesses can experience abnormal returns from 1 to 5 years after major financial events. Also, this paper investigates the long-run price performance of initial public offerings (IPOs) in Amman Stock Exchange (ASE). The sample period expands from 2018 to 2022. Various findings are obtained by employing several analytical methods. First, long-run price performance of IPOs is negative, and a strong evidence shows that the long-run performance is sensitive to the benchmark employed. To assess the long-term performance of IPOs, I used both cumulative abnormal returns (CAR) and buy-and-hold abnormal returns (BHAR) as aggregated models. I explained the methodology which is adopted in this study in detail for the event–time approach. However, I used the crucial values for the skewness-adjusted t-statistic to infer statistical tests. Even though BHAR provided weaker results, all methods indicated negative long-run abnormal returns for IPOs. Yet this performance varied when comparing the performance utilizing ASEI, Fama–French three-factor (FF3F), and matching firm (MF) as benchmarks.

Reassessing the Long-Run Abnormal Performance of Jordanian IPOs: An Event Study Approach

Foundations of Management

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

This paper examines and reviews the fundamental challenges that academicians face when using the event study methodology to assess the long-term consequences...

Reassessing the Long-Run Abnormal Performance of Jordanian IPOs: An Event Study Approach

Publicado en línea: 06 oct 2023

Páginas: 141 - 160

DOI: https://doi.org/10.2478/fman-2023-0011

Palabras clave
event methodology, abnormal return, benchmark, IPOs, skewness-adjusted test

© 2023 Fawaz Khalid Al Shawawreh, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Reassessing the Long-Run Abnormal Performance of Jordanian IPOs: An Event Study Approach

Publicado en línea: 06 oct 2023

Páginas: 141 - 160

DOI: https://doi.org/10.2478/fman-2023-0011

Palabras claveevent methodology, abnormal return, benchmark, IPOs, skewness-adjusted test

© 2023 Fawaz Khalid Al Shawawreh, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Palabras clave
event methodology, abnormal return, benchmark, IPOs, skewness-adjusted test