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

Fawaz Khalid Al Shawawreh
Fawaz Khalid Al Shawawreh
   | 06 oct 2023
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Publicado en línea: 06 oct 2023
Páginas: 141 - 160
DOI: https://doi.org/10.2478/fman-2023-0011
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© 2023 Fawaz Khalid Al Shawawreh, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Figure 1.

The time horizon for studying the event. (Source: Author’s own research)
The time horizon for studying the event. (Source: Author’s own research)

AR, CAR, and BHAR when using ASEI as a benchmark (Source: Author’s own research)

Month AR CAR BHAR
1 0.0372 0.0217 −0.2122
6 −0.0065 0.0183 −0.2818
12 −0.0089 −0.0173 −0.2649
18 −0.0038 −0.1923 −0.2910
24 −0.0194 −0.2176 −0.3570
30 −0.0172 −0.2587 −0.3890
36 −0.0190 −0.3287 −0.4255
42 −0.0256 −0.3834 −0.5352
48 −0.0289 −0.4218 −0.6388

Skewness-adjusted t-test when MF benchmark is employed (Source: Author’s own research)

Panel A: Cumulative Abnormal Return (CAR)
CAR N Event window Mean Std. dev. Skewness-adjusted
Value Probability
60 1 0.0348 0.5387 0.345 0.545
60 6 −0.0217 0.5487 −0.254 0.765
57 12 −0.0276 0.6742 −0.194 0.798
52 24 −0.0354 0.6198 −0.543 0.802
48 36 −0.0375 0.7342 −0.587 0.823
45 48 −0.0403 0.7432 −0.687 0.837
Panel B: Buy-and-Hold Abnormal Return (BHAR)
  N Event window Mean Std. dev. Skewness-adjusted
Value Probability
BHAR 60 1 −0.0438 0.5398 −1.453 0.156
60 6 −0.0563 0.4329 −1.209 0.196
57 12 −0.0597 0.4034 −1.438 0.065
52 24 −0.0632 0.5932 −1.621 0.145
48 36 −0.0698 0.6109 −0.954 0.117
45 48 −0.7046 0.6543 −0.974 0.146

Models and test statistics used in literature for event study methodologies (Source: eventstudytools.com)

Models Test statistics Other features

Market model

Market adjusted

Comparison period mean adjusted

Capital Asset Pricing Model (CAPM)

Fama–French 3-factor model

Fama–French–momentum

4-factor model

Fama–French 5-factor model

T test

Cross-sectional T

Crude dependence adjustment T

Patell Z

Adjusted Patell Z

BMP/standardized cross-sectional test

Adjusted standardized cross-sectional test

Skewness corrected

Rank Z

Generalized rank Z

Generalized rank T

Sign Z

Generalized sign Z

Wilcoxon

Automatic non-trading day adjustments

Choice between simple and log returns

Optional data file creation service

Summary of null hypothesis testing (Source: Author’s own research)

First benchmark: Amman Stock Exchange Index (ASEI) Null hypothesis Result
AR (H01: AR = 0, when ASEI is a benchmark) Rejected
CAR (H02: CAR = 0, when ASEI is a benchmark) Rejected
BHAR (H03: BHAR = 0, when ASEI is a benchmark) Rejected
Second benchmark: Matching Firm approach (MF) Null hypothesis Result
AR (H04: AR = 0, when MF is a benchmark) Rejected
CAR (H05: CAR =0, when MF is a benchmark) Accepted
BHAR (H06: BHAR = 0, when MF is a benchmark) Accepted
Third benchmark: FF3F model Null hypothesis Result
AR (H07: AR = 0, when FF3F is a benchmark) Rejected
CAR (H08: CAR = 0, when FF3F is a benchmark) Accepted
BHAR (H09: BHAR = 0, when FF3F is a benchmark) Accepted

Descriptive statistic of the study sample (Source: Author’s own research)

No. of months Mean Median Std. deviation Minimum Maximum
Benchmark A: ASEI model
AR 48 −0.00466 −0.004 0.00843 −0.023 0.004
CAR 48 −0.0743 −0.065 0.02659 −0.105 0.002
BHAR 48 −0.2879 −0.087 0.47632 −0.765 −0.007
Benchmark B: FF3F model
AR 48 −0.00987 −0.0906 0.009065 −0.018 0.037
CAR 48 −0.12845 −0.1356 0.150986 −0.280 0.047
BHAR 48 −0.15709 −0.0678 0.169874 −0.290 −0.027
Benchmark C: Matching Firm (MF) model
AR 48 −0.00526 −0.013 0.006123 −0.055 0.022
CAR 48 −0.07853 −0.042 0.065430 −0.149 0.018
BHAR 48 −0.45789 −0.076 0.664091 −0.746 −0.009

AR, CAR, and BHAR when using FF3F model as a benchmark (Source: Author’s own research)

Month AR% CAR% BHAR%
1 0.0017 0.0018 −0.0252
6 −0.0031 −0.0606 −0.0422
12 −0.0026 −0.0702 −0.0482
18 −0.0016 −0.0813 −0.0592
24 −0.0051 −0.0925 −0.0512
30 −0.0025 −0.1037 −0.0522
36 −0.0002 −0.1215 −0.0572
42 0.0024 −0.1253 −0.0632
48 0.0031 −0.01453 −0.0663

Time series stationary test results (Source: Author’s own research)

Factor Test name Test statistic P-value Conclusion
ASEI-AR Augmented Dickey–Fuller −4.943 0.000 Stationary
Phillips–Perron (PP) −5.126 0.000 Stationary
FF3F-AR Test name Test statistic P-value Conclusion
  Augmented Dickey–Fuller −7.246 0.000 Stationary
Phillips–Perron (PP) −7.246 0.000 Stationary
MF-AR Test name Test statistic P-value Conclusion
  Augmented Dickey–Fuller −5.759 0.000 Stationary
Phillips–Perron (PP) −5.759 0.000 Stationary
SMB Test name Test statistic P-value Conclusion
  Augmented Dickey–Fuller −6.630 0.000 Stationary
Phillips–Perron (PP) −6.630 0.000 Stationary
HML Test name Test statistic P-value Conclusion
  Augmented Dickey–Fuller −8.089 0.000 Stationary
Phillips–Perron (PP) −8.089 0.000 Stationary
RM-RF Test name Test statistic P-value Conclusion
  Augmented Dickey–Fuller −9.591 0.000 Stationary
Phillips–Perron (PP) −9.591 0.000 Stationary

AR, CAR, and BHAR when using Matching Firm model (MF) as a benchmark (Source: Author’s own research)

Month AR% CAR% BHAR%
1 0.00394 0.00434 −0.00366
6 0.00034 −0.02576 −0.04566
12 0.00034 −0.03256 −0.05466
18 −0.00046 −0.04196 −0.05266
24 −0.00106 −0.05276 −0.06266
30 −0.00216 −0.10406 −0.33026
36 −0.00306 −0.11316 −0.75646
42 −0.00336 −0.15736 −0.79406
48 −0.00396 −0.18516 −0.82226

One-sample statistics and t-test for AR (Source: Author’s own research)

Panel A: Amman Stock Exchange Index (ASEI)
AR N Mean Std. dev. df t-statistic P-value
48 −0.0095 0.00763 47 −4.246 0.0000*
Panel B: Matching Firm (MF)
AR N Mean Std. dev. df t-statistic P-value
48 −0.0057 0.00629 47 −3.76 0.023**
Panel C: FF3F model
AR N Mean Std. dev. df t-statistic P-value
48 −0.0048 0.00953 47 −3.051 0.037**

Skewness-adjusted t-test when FF3F benchmark is employed (Source: Author’s own research)

Panel A: Cumulative Abnormal Return (CAR)
  N Event window Mean Std. dev. Skewness-adjusted test statistics
Value Probability
CAR 60 1 0.0310 0.1872 1.342 0.804
60 6 −0.0106 0.1183 −1.128 0.073***
57 12 −0.0189 0.1409 −1.501 0.100***
52 24 −0.0264 0.1865 −1.809 0.061***
48 36 −0.0329 0.2165 −1.703 0.069***
45 48 −0.0358 0.2360 −1.648 0.073***
Panel B: Buy-and-Hold Abnormal Return (BHAR)
  N Event window Mean Std. dev. Skewness-adjusted test statistics
Value Probability
BHAR 60 1 −0.0863 0.8375 −1.295 0.087***
60 6 −0.0801 0.6429 −1.571 0.094***
57 12 −0.0697 0.4385 −1.604 0.045**
52 24 −0.0954 0.6241 −1.783 0.050**
48 36 −0.1058 0.7410 −1.301 0.075***
45 48 −0.1164 0.8642 −1.542 0.075***

Skewness-adjusted t-test when ASEI is employed (Source: Author’s own research)

Panel A: Cumulative abnormal return (CAR)
CAR N Event window Mean Std. dev. Skewness-adjusted t-test
Month Value Probability
60 1 0.01745 0.0653 2.583 0.000*
60 6 0.0356 0.0863 4.876 0.000*
57 12 −0.0253 0.0674 −4.345 0.000*
52 24 −0.0186 0.0872 −5.201 0.000*
48 36 −0.0232 0.0765 −4.934 0.001*
45 48 −0.0393 0.0654 −3.682 0.010*
Panel B: Buy-and-hold abnormal return (BHAR)
BHAR N Event window Mean Std. dev. Skewness-adjusted t-test
month Value Probability
60 1 −0.0342 0.0854 −2.198 0.004*
60 6 −0.0365 0.0574 −2.634 0.006*
57 12 −0.0426 0.0986 −2.483 0.009*
52 24 −0.0454 0.0793 −2.089 0.003*
48 36 −0.0489 0.0845 −2.762 0.007*
45 48 −0.0559 0.0949 −2.438 0.005*
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