The Long-Term Performance of IPO’s, Revisited
This 2017 paper studies event-driven strategies in equities using a linear factor model. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“In this paper, we show that a sample of 7,487 U.S. IPOs between 1975 and 2014 continues to significantly underperform mature firms in terms of Carhart-alphas over two years, with underperformance peaking one year after going public.”
AssetEquitiessingle stocks
StrategyEvent-driven strategies
TechniqueLinear factor model
GeographyUSEurope
Also stated: Alpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodEvent-driven strategies by year
FamilyEvent-driven strategies52Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 950
AssetEquities40
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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