Źródła długoterminowych anormalnych stóp zwrotu po pierwszych ofertach publicznych na rynkach Europy Środkowej i Wschodniej
Sources of long–term post–IPO underperfor-mance in Central and Eastern European countries

Summary/Abstract: The paper examines the long–term post–IPO performance and its sources in the Central and Eastern European (CEE) markets. We use sorting, cross–sectional tests, regression, and tests of a monotonic relation to investigate over 1100 stocks from 11 CEE countries for the period 2002–2014. We test the performance of portfolios of age–sorted stocks. “Old stocks” perform signifi cantly better than “young stocks”, but only if the market beta is the sole risk factor considered. After controlling for the size and value effects, the IPO fi rms do not reveal abnormal returns over non–issuing companies. The market newcomers have higher book–to–market ratios and are in better fi nancial condition than their older counterparts. However, over a few years the fi nancial conditions deteriorate.

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