HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège

Empirical study of the underpricing and the winner's curse hypothesis of IPO's on Euronext Brussels

Culot, Bertrand ULiège
Promotor(s) : Lambert, Marie ULiège
Date of defense : 23-Jun-2016/28-Jun-2016 • Permalink :
Title : Empirical study of the underpricing and the winner's curse hypothesis of IPO's on Euronext Brussels
Author : Culot, Bertrand ULiège
Date of defense  : 23-Jun-2016/28-Jun-2016
Advisor(s) : Lambert, Marie ULiège
Committee's member(s) : Hübner, Georges ULiège
Boelen, Michel 
Language : English
Keywords : [fr] IPO, underpricing, Winner's Curse Hypothesis
Discipline(s) : Business & economic sciences > Finance
Target public : Researchers
Professionals of domain
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège


[fr] What can IPO investment bring to a retail investor in terms of profitability and performance? This is the question we try to answer through this paper. We conduct our empirical study on the Belgian market from 2004 to 2015.
First, we build a model to detect underpricing. Indeed, we calculate for each IPO the market-adjusted returns being the excess returns the IPO’s can deliver beyond the market. The results show on average a tremendous evidence of underpricing on short term that increases steadily on long term by three basis points each trading day. Nevertheless we have to balance our interpretations by the small size of the sample and its high volatility.
Secondly, we elaborate a new model taking into account an allocation system of the IPO’s during the offerings. This last one considers different invested amounts over 6 months. The results seem to indicate that on average the retail investors lose some of the IPO investment’s performance captured by the allocation system. This last finding checks the Winner’s Curse Hypothesis for the sample. However, the returns in this case are still positive and significant for a retail investor.
Finally, we test some variables in order to define a strategy that will create added value to the IPO investment. For an optimal one, we should pick up only IPO’s with a bookbuilding price setting procedure that offer either existing or a mix of existing and new shares, during a bullish market movement.



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  • Culot, Bertrand ULiège Université de Liège > Master ingé. gest., fin. spéc. fin. engin. (ex 2e ma.)


Committee's member(s)

  • Hübner, Georges ULiège Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière
    ORBi View his publications on ORBi
  • Boelen, Michel
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  • Total number of downloads 0

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