Abstract
Introduction
According to the research literature of initial public offerings (IPOs), despite the high Performance of them in the short-term, their long-term performance will probably be lower than the average performance of the relevant market {or industry} and this issue, if confirmed, requires the special attention of capital market activists. By using factor models, the current research has focused on the long-term performance of IPOs and, accordingly, the phenomenon of their underperformance in the long-term. In particular, in order to create a broad and reliable insight into the phenomenon " long-term underperformance of IPOs”, analyzes have been carried out at various levels, including the market and industry levels.
MATERIALS AND METHODS
The research was conducted on 235 initial public offerings (IPOs) between February 2015 and December 2020 (57 months in total). The analyzes have been done with the approach of factor models and the use of monthly time series of portfolios consisting of initial public offerings (IPOs). To investigate the phenomenon of low or high Performance of IPOs, the intercept level of the models has been used. Due to the lack of agreement among researchers regarding the length of the long-term period of IPOs, this research has used three periods (12-24 and 36 months).
Also, according to the existence of the different models explaining performance of the IPOs and the possible effects of the model on the results, three different and conventional models have been used, including Fama and French (2003 and 2015) and Hou et al.'s model (2015).The stock and over-the-counter markets have been investigated separately, and since the research data only made possible the portfolio of 4 chemical, pharmaceutical, agricultural, and basic metal industries, the analysis of industries was carried out only at the level of these 4 industries.
RESULTS AND DISCUSSION
Validation test of the models supported their validity and the results of fitting them showe