TY  - JOUR
AU  - Ang,Andrew
AU  - Gu,Li
AU  - Hochberg,Yael V.
TI  - Is IPO Underperformance a Peso Problem?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12203
PY  - 2006
Y2  - May 2006
UR  - http://www.nber.org/papers/w12203
L1  - http://www.nber.org/papers/w12203.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Yael Hochberg
Kellogg School of Management
Northwestern University
2001 Sheridan Road
Evanston, IL 60208
Tel: 847/467-4574
Fax: 847/491-5719
E-Mail: y-hochberg@kellogg.northwestern.edu
M2  - featured in NBER digest on 2006-05-08
AB  - Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or %u201CPeso%u201D problem. That is, IPO underperformance may result from observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance that captures this intuition by allowing returns to be drawn from mixtures of outstanding, benchmark, or poor performing states. We estimate the model under the null of no ex-ante average IPO underperformance and construct small sample distributions of various statistics measuring IPO relative performance. We find that small sample biases are extremely unlikely to account for the magnitude of the post-1970 IPO underperformance observed in data.
ER  -