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

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Culot, Bertrand ULiège
Promoteur(s) : Lambert, Marie ULiège
Date de soutenance : 23-jui-2016/28-jui-2016 • URL permanente : http://hdl.handle.net/2268.2/1357
Détails
Titre : Empirical study of the underpricing and the winner's curse hypothesis of IPO's on Euronext Brussels
Auteur : Culot, Bertrand ULiège
Date de soutenance  : 23-jui-2016/28-jui-2016
Promoteur(s) : Lambert, Marie ULiège
Membre(s) du jury : Hübner, Georges ULiège
Boelen, Michel 
Langue : Anglais
Mots-clés : [fr] IPO, underpricing, Winner's Curse Hypothesis
Discipline(s) : Sciences économiques & de gestion > Finance
Public cible : Chercheurs
Professionnels du domaine
Institution(s) : Université de Liège, Liège, Belgique
Diplôme : Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering
Faculté : Mémoires de la HEC-Ecole de gestion de l'Université de Liège

Résumé

[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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Access CULOT_Bertrand_master_thesis.pdf
Description: master thesis: full text
Taille: 1.83 MB
Format: Adobe PDF

Auteur

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

Promoteur(s)

Membre(s) du jury

  • Hübner, Georges ULiège Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière
    ORBi Voir ses publications sur ORBi
  • Boelen, Michel
  • Nombre total de vues 74
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