Underpricing and Long-Run IPO Performance in Italy, Sweden and United Kingdom: a comparative study from 2006 to 2013

Sammanfattning: In my thesis, I study two IPO anomalies, the underpricing and the long-run underperformance of new listings, from 2006 to 2013, on two peripheral (Sweden and Italy) and on the main European financial market (UK). I also examine the sector specific performances within each market to identify whether some particular industry performed better in one particular market rather than in others. Different approaches have been used to investigate the abnormal IPO returns: the event-time and the calendar-time approach. In my analysis, I used samples of 66 IPOs in Italy, 341 IPOs in UK and 37 IPOs in Sweden. My main contribution is to introduce the Fama-French three-factor model for analyzing long-run IPO performances on the Italian equity market as well as comparing, on a single research, both the short and long-run IPO performances between regional and central financial markets. My findings suggest that the first-day returns are consistently positive in Italy and UK, while they are not fully significantly positive in Sweden. However, the degree of underpricing is higher in UK than it is in Italy and Sweden even if the number of IPOs varies substantially. My results also suggest that when IPO portfolio returns are equally-weighted, new listings in UK statistically underperformed against their benchmarks while Italian and Swedish did not. On a value-weighted basis, instead, there is no strong evidence to support long-run IPO underperformances in all three markets.