Abstract:
This paper focuses on IPO long run underperformance anomaly
and the application of calendar time techniques to dissect
anomalous behavior of IPO stocks. More specifically this paper
will provide fresh evidence on how multi factor models work on a
specific type of security (IPO stocks in this scenario) in an
emerging market like Sri Lanka. It is analyzed IPOs over a period
from 2000 to 2012 on Colombo Stock Exchange (CSE). Main
finding of the study is that traditional market beta still remains
strong despite the employment of latest multi factor models.
