A SURVEY ON LONG-TERM IPO RETURN: DEVELOPING THE FAMA-FRENCH MODEL

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ROSTAMI MOHAMMAD REZA; REZAEEMOGHADDAM AMIN

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Journal: Management Research in Iran Year:2013 | Volume:17 | Issue:3 Page(s): 113-127

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Title

A SURVEY ON LONG-TERM IPO RETURN: DEVELOPING THE FAMA-FRENCH MODEL

Author(s)

ROSTAMI MOHAMMAD REZA | REZAEEMOGHADDAM AMIN | Issue Writer Certificate

Keywords

LIQUIDITYQ2

THREE FACTOR MODELQ2

LONG RUN RETURNQ2

IPOQ1

Abstract

In asset pricing and portfolio management, the Fama-French THREE FACTOR MODEL is a model designed by Eugene Fama and Kenneth French to describe stock returns. The traditional asset pricing model, known formally as the Capital Asset Pricing Model (CAPM) uses only one variable (beta), to describe the returns of a portfolio or stock with the returns of the market as a whole. In contrast, the Fama-French model uses three variables. Fama and French started with the observation that two classes of stocks have tended to do better than the market as a whole: small caps, and stocks with a high book-to-market ratio, customarily called value stocks, contrasted with growth stocks. They then added two factors to the CAPM to reflect a portfolio's exposure to these two classes. Based on Fama and French about short term, abnormal return in IPOs investors may fall into traps by involving IPOs without considering the fundamentals of stocks, which would cause their loss, so this survey is conducted to study the LIQUIDITY and leverage effects beside the Fama-French three factors on IPOs. This survey uses Amihood ilLIQUIDITY measure and leverage ratio to explore the LONG RUN RETURN (one year) considering (3 months) as short term. Regression analysis showed that among 5 major variables, only market premium and size had significant relation with LONG RUN RETURN.

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APA: Copy

ROSTAMI, MOHAMMAD REZA, & REZAEEMOGHADDAM, AMIN. (2013). A SURVEY ON LONG-TERM IPO RETURN: DEVELOPING THE FAMA-FRENCH MODEL. MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), 17(3), 113-127. SID. https://sid.ir/paper/404233/en

Vancouver: Copy

ROSTAMI MOHAMMAD REZA, REZAEEMOGHADDAM AMIN. A SURVEY ON LONG-TERM IPO RETURN: DEVELOPING THE FAMA-FRENCH MODEL. MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES)[Internet]. 2013;17(3):113-127. Available from: https://sid.ir/paper/404233/en

IEEE: Copy

MOHAMMAD REZA ROSTAMI, and AMIN REZAEEMOGHADDAM, “A SURVEY ON LONG-TERM IPO RETURN: DEVELOPING THE FAMA-FRENCH MODEL,” MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), vol. 17, no. 3, pp. 113–127, 2013, [Online]. Available: https://sid.ir/paper/404233/en

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