Reassessing the Long-Run Abnormal Performance of Jordanian IPOs: An Event Study Approach

Figures & Tables

Month	AR	CAR	BHAR
1	0.0372	0.0217	−0.2122
6	−0.0065	0.0183	−0.2818
12	−0.0089	−0.0173	−0.2649
18	−0.0038	−0.1923	−0.2910
24	−0.0194	−0.2176	−0.3570
30	−0.0172	−0.2587	−0.3890
36	−0.0190	−0.3287	−0.4255
42	−0.0256	−0.3834	−0.5352
48	−0.0289	−0.4218	−0.6388

Panel A: Cumulative Abnormal Return (CAR)
CAR	N	Event window	Mean	Std. dev.	Skewness-adjusted
	N	Event window	Mean	Std. dev.	Value	Probability
	60	1	0.0348	0.5387	0.345	0.545
	60	6	−0.0217	0.5487	−0.254	0.765
	57	12	−0.0276	0.6742	−0.194	0.798
	52	24	−0.0354	0.6198	−0.543	0.802
	48	36	−0.0375	0.7342	−0.587	0.823
	45	48	−0.0403	0.7432	−0.687	0.837
Panel B: Buy-and-Hold Abnormal Return (BHAR)
	N	Event window	Mean	Std. dev.	Skewness-adjusted
	N	Event window	Mean	Std. dev.	Value	Probability
BHAR	60	1	−0.0438	0.5398	−1.453	0.156
	60	6	−0.0563	0.4329	−1.209	0.196
	57	12	−0.0597	0.4034	−1.438	0.065
	52	24	−0.0632	0.5932	−1.621	0.145
	48	36	−0.0698	0.6109	−0.954	0.117
	45	48	−0.7046	0.6543	−0.974	0.146

Models	Test statistics	Other features
Market model Market adjusted Comparison period mean adjusted Capital Asset Pricing Model (CAPM) Fama–French 3-factor model Fama–French–momentum 4-factor model Fama–French 5-factor model	T test Cross-sectional T Crude dependence adjustment T Patell Z Adjusted Patell Z BMP/standardized cross-sectional test Adjusted standardized cross-sectional test Skewness corrected Rank Z Generalized rank Z Generalized rank T Sign Z Generalized sign Z Wilcoxon	Automatic non-trading day adjustments Choice between simple and log returns Optional data file creation service

First benchmark: Amman Stock Exchange Index (ASEI)	Null hypothesis	Result
AR	(H01: AR = 0, when ASEI is a benchmark)	Rejected
CAR	(H02: CAR = 0, when ASEI is a benchmark)	Rejected
BHAR	(H03: BHAR = 0, when ASEI is a benchmark)	Rejected
Second benchmark: Matching Firm approach (MF)	Null hypothesis	Result
AR	(H04: AR = 0, when MF is a benchmark)	Rejected
CAR	(H05: CAR =0, when MF is a benchmark)	Accepted
BHAR	(H06: BHAR = 0, when MF is a benchmark)	Accepted
Third benchmark: FF3F model	Null hypothesis	Result
AR	(H07: AR = 0, when FF3F is a benchmark)	Rejected
CAR	(H08: CAR = 0, when FF3F is a benchmark)	Accepted
BHAR	(H09: BHAR = 0, when FF3F is a benchmark)	Accepted

	No. of months	Mean	Median	Std. deviation	Minimum	Maximum
Benchmark A: ASEI model
AR	48	−0.00466	−0.004	0.00843	−0.023	0.004
CAR	48	−0.0743	−0.065	0.02659	−0.105	0.002
BHAR	48	−0.2879	−0.087	0.47632	−0.765	−0.007
Benchmark B: FF3F model
AR	48	−0.00987	−0.0906	0.009065	−0.018	0.037
CAR	48	−0.12845	−0.1356	0.150986	−0.280	0.047
BHAR	48	−0.15709	−0.0678	0.169874	−0.290	−0.027
Benchmark C: Matching Firm (MF) model
AR	48	−0.00526	−0.013	0.006123	−0.055	0.022
CAR	48	−0.07853	−0.042	0.065430	−0.149	0.018
BHAR	48	−0.45789	−0.076	0.664091	−0.746	−0.009

Month	AR%	CAR%	BHAR%
1	0.0017	0.0018	−0.0252
6	−0.0031	−0.0606	−0.0422
12	−0.0026	−0.0702	−0.0482
18	−0.0016	−0.0813	−0.0592
24	−0.0051	−0.0925	−0.0512
30	−0.0025	−0.1037	−0.0522
36	−0.0002	−0.1215	−0.0572
42	0.0024	−0.1253	−0.0632
48	0.0031	−0.01453	−0.0663

Factor	Test name	Test statistic	P-value	Conclusion
ASEI-AR	Augmented Dickey–Fuller	−4.943	0.000	Stationary
	Phillips–Perron (PP)	−5.126	0.000	Stationary
FF3F-AR	Test name	Test statistic	P-value	Conclusion
	Augmented Dickey–Fuller	−7.246	0.000	Stationary
	Phillips–Perron (PP)	−7.246	0.000	Stationary
MF-AR	Test name	Test statistic	P-value	Conclusion
	Augmented Dickey–Fuller	−5.759	0.000	Stationary
	Phillips–Perron (PP)	−5.759	0.000	Stationary
SMB	Test name	Test statistic	P-value	Conclusion
	Augmented Dickey–Fuller	−6.630	0.000	Stationary
	Phillips–Perron (PP)	−6.630	0.000	Stationary
HML	Test name	Test statistic	P-value	Conclusion
	Augmented Dickey–Fuller	−8.089	0.000	Stationary
	Phillips–Perron (PP)	−8.089	0.000	Stationary
RM-RF	Test name	Test statistic	P-value	Conclusion
	Augmented Dickey–Fuller	−9.591	0.000	Stationary
	Phillips–Perron (PP)	−9.591	0.000	Stationary

Month	AR%	CAR%	BHAR%
1	0.00394	0.00434	−0.00366
6	0.00034	−0.02576	−0.04566
12	0.00034	−0.03256	−0.05466
18	−0.00046	−0.04196	−0.05266
24	−0.00106	−0.05276	−0.06266
30	−0.00216	−0.10406	−0.33026
36	−0.00306	−0.11316	−0.75646
42	−0.00336	−0.15736	−0.79406
48	−0.00396	−0.18516	−0.82226

Panel A: Amman Stock Exchange Index (ASEI)
AR	N	Mean	Std. dev.	df	t-statistic	P-value
	48	−0.0095	0.00763	47	−4.246	0.0000*
Panel B: Matching Firm (MF)
AR	N	Mean	Std. dev.	df	t-statistic	P-value
	48	−0.0057	0.00629	47	−3.76	0.023**
Panel C: FF3F model
AR	N	Mean	Std. dev.	df	t-statistic	P-value
	48	−0.0048	0.00953	47	−3.051	0.037**

Panel A: Cumulative Abnormal Return (CAR)
	N	Event window	Mean	Std. dev.	Skewness-adjusted test statistics
	N	Event window	Mean	Std. dev.	Value	Probability
CAR	60	1	0.0310	0.1872	1.342	0.804
	60	6	−0.0106	0.1183	−1.128	0.073***
	57	12	−0.0189	0.1409	−1.501	0.100***
	52	24	−0.0264	0.1865	−1.809	0.061***
	48	36	−0.0329	0.2165	−1.703	0.069***
	45	48	−0.0358	0.2360	−1.648	0.073***
Panel B: Buy-and-Hold Abnormal Return (BHAR)
	N	Event window	Mean	Std. dev.	Skewness-adjusted test statistics
	N	Event window	Mean	Std. dev.	Value	Probability
BHAR	60	1	−0.0863	0.8375	−1.295	0.087***
	60	6	−0.0801	0.6429	−1.571	0.094***
	57	12	−0.0697	0.4385	−1.604	0.045**
	52	24	−0.0954	0.6241	−1.783	0.050**
	48	36	−0.1058	0.7410	−1.301	0.075***
	45	48	−0.1164	0.8642	−1.542	0.075***

Panel A: Cumulative abnormal return (CAR)
CAR	N	Event window	Mean	Std. dev.	Skewness-adjusted t-test
		Month			Value	Probability
	60	1	0.01745	0.0653	2.583	0.000*
	60	6	0.0356	0.0863	4.876	0.000*
	57	12	−0.0253	0.0674	−4.345	0.000*
	52	24	−0.0186	0.0872	−5.201	0.000*
	48	36	−0.0232	0.0765	−4.934	0.001*
	45	48	−0.0393	0.0654	−3.682	0.010*
Panel B: Buy-and-hold abnormal return (BHAR)
BHAR	N	Event window	Mean	Std. dev.	Skewness-adjusted t-test
		month			Value	Probability
	60	1	−0.0342	0.0854	−2.198	0.004*
	60	6	−0.0365	0.0574	−2.634	0.006*
	57	12	−0.0426	0.0986	−2.483	0.009*
	52	24	−0.0454	0.0793	−2.089	0.003*
	48	36	−0.0489	0.0845	−2.762	0.007*
	45	48	−0.0559	0.0949	−2.438	0.005*