Hur maximerar man abnormal avkastning på den svenska IPO-marknaden? : En studie om underprissättning och aktiekursutveckling gällande svenska börsnoteringar

Sammanfattning: Background and problem: Underpricing has been examined and determined on multiplefinancial markets around the world, but there is no consensus concerning what exactlydrives it. The phenomenon creates possibilities to identify attractive investment strategiesthat may generate abnormal returns. Therefore, we have chosen to study potential driversof underpricing as well as evaluate two investment strategies in an attempt to find asuperior one. Purpose: The purpose of this study is to investigate which of the following investingstrategies “Subscribe and Sell” and “Buy and Hold” that achieves the highest abnormalreturn on the Swedish IPO-market. This will be examined over an investment horizon upto five months, with five different record dates. Furthermore, the study intends toinvestigate which potential variables that drives the underpricing and stock returns onSwedish IPOs. Method: The study applies a quantitative approach in which we, in line with earlierreference studies, practice T-test to examine which of the strategies “Buy and hold” and“Subscribe and Sell” that is the most successful. Multiple regressions will be applied toexplain the initial underpricing as well as the continued stock returns on IPOs. Ourresearch questions are phrased as hypothesis to simplify the implementation of statisticaltests as well as the interpretation of the results. Theories explaining underpricing of IPOshave been approximated as variables to measure their effect on the IPO. Conclusion: The results from the study states the existence of abnormal returns on theSwedish IPO-market between the years 2012 and 2017. Furthermore, the study confirmsthe “Buy and Hold” strategy to be more successful than the “Subscribe and Sell” strategyover an investment horizon of five months. With premises from the results of the multipleregressions, three out of five variables showed significance, which approximated the theories the Bandwagon effect, the Small Firm Effect and Ex-Ante Uncertainty. Keywords: IPO, underpricing, abnormal return