Litteraturliste
AFFLECK-GRAVES, J. and SPIESS, K. (1995): “Underperformance in Long-Run Stock Returns
Following Seasoned Equity Offerings”. Journal of Financial Economics, vol. 38, pp. 243267.
ALVAREZ S. and GONZALEZ V. (2001): “Long-run performance of initial public offerings
(IPOs) in the Spanish Capital Market”. University of Oviedo, Spain.
BARBER, B. and LYON, J. (1997): “Detecting Long-Run Abnormal Stock Returns: The Empirical
Power and Specification of Test Statistics”. Journal of Financial Economics, vol. 43, pp.
341 –372.
BARTHOLDY, J. and PEARE P. (2004): “Estimation of expected return: CAPM vs. Fama and
French”. International Review of Financial Analysis 14 (2005), 407–427.
BRAV, A. (1997): “Inference in long-horizon event studies: A Bayesian approach with application
to initial public offerings”. Working Paper. University of Chicago.
BRAV, A. (2000): “Inference in long-horizon event studies: A Bayesian approach with application
to initial public offerings”. Journal of Finance, vol. 55 (5), pp. 197-2016.
BRAV, A.; GECZY, C. and GOMPERS, P. (2000): “Is the abnormal return following equity
issuance anomalous?. Journal of Financial Economics, vol. 56, pp. 206-249.
BROWN, S. and WARNER J. (1985): “Using Daily Stock Returns: The Case of Event Studies.
Journal of Financial Economics, 14, pp. 3-31.
CAMPBELL, JOHN y., ANDREW W. LO and A. CRAIG MACKINLAY (1997), ”The
Econometric of Financial Markets”, Princeton, Princeton University Press.
DAVIS, J.; FAMA, E. and FRENCH, K. (2000): “Characteristics, Covariances, and Average
Returns: 1929 to 1997”. Journal of Financial Economics, vol. 55, pp. 389-406.
ESPENLAUB, S.; GREGORY, A. and TONKS, I. (2000): “Re-assessing the long-term
underperformance of UK Initial Public Offerings”. European Financial Management, vol.
6, nº 3, pp. 319-342.
FAMA, E. (1976): Foundations of Finance. Basic Books, Inc. Publishers, New York, s. 31.
FAMA, E. (1998): “Market efficiency, long-term returns and behavioral finance”. Journal of
Financial Economics, vol. 49, pp. 283-306.
FAMA, E. and FRENCH, K. (1992): “The Cross Section of Expected Stock Returns”. The Journal
of Finance, vol. 47, pp. 427-465.
FAMA, E. and FRENCH, K. (1993): “Common risk factors in the returns of stocks and bonds”.
Journal of Financial Economics, vol. 33 pp. 3-55.
FAMA, E. and FRENCH, K. (1995): “Size and Book-to-Market factors in Earnings and Returns”.
Journal of Applied Corporate Finance, vol. 50, No. 1, pp. 131-155.
IBBOTSON, R. (1975): “Price Performance of Common Stock New Issues”. Journal of Financial
Economics, vol. 2, pp. 235-272.
IBBOTSON, R.; SINDELAR, J. and RITTER, J. (1988): “Initial Public Offerings”. Journal of
Applied Corporate Finance, vol. 1, pp. 37-45.
IBBOTSON, R.; SINDELAR, J. and RITTER, J. (1994): “The Market´s Problems with the Pricing
of Initial Public Offerings”. Journal of Applied Corporate Finance, vol. 7, pp. 66-74.
WOOLDRIDGE, J.M. (2006): Introductory Econometrics - A Modern Approach, Third Edition,
Thomson South Western, s. 342-437.
JENSEN, A. K. (1999): “En analyse af danske aktieselskabers long-run performance efter en
børsintroduktion – med specielt fokus på event studie metodologi samt aktiemarkedets effektivitet”.
Cand.Merc Hovedopgave, Århus Handelshøjskole.
KOTHARI, S. and WARNER, J. (1997): “Measuring Long-Horizon Security Price Performance”
Journal of Financial Economics, vol. 43, pp. 301-340.
KWOK C., WU C., CHAN Y-C. (2007): “Valuation of global IPO’s: a stochastic frontier
approach”. Springer Science+Business Media, LLC 2007.
LANTHER, D (1998): “Børsintroduktionsmarkedets effektivitet. En empirisk undersøgelse af
danske børsintroduktioners langsigtede performance, 1983-1994”. Cand.Merc. Hovedopgave,
Århus Handelshøjskole.
LEVIS, M. (1993): “The Long-Run Performance of Initial Public Offerings: The UK Experience
1980 - 1988”. Financial Management, vol. 22, pp. 28-41.
LOUGHRAN, T. and RITTER J. (1995): “The New Issues Puzzle”. The Journal of Finance, vol.
50, nº 1, pp. 23- 51.
LOUGHRAN, T. and RITTER J. (2000): “Uniformly least powerful test of market efficiency”.
Journal of Financial Economics, vol. 55, pp. 361-389.
LOUGHRAN, T.; RITTER J. and RYDQVIST, K. (1994): “Initial Public Offerings: International
Insights”. Pacific-Basin Finance Journal, vol. 2, pp. 165-199.
LYON, J.; BARBER, B. and TSAI, C. (1999): “Improved Methods for Tests of Long-Run
Abnormal Stock Returns”. Journal of Finance, vol. LIV, nº 1, pp. 165-201.
RITTER, J. (1991): “The Long-Run Performance of Initial Public Offerings”. The Journal of
Finance, vol. 46, nº 1, pp. 3-28.
SCHLEIDER, T; BROE-ANDERSEN, T (1998): “En analyse af metodiske problemstillinger
omkring måling af overnormale afkast på det danske aktiemarked – eksempliceret ved et eventstudie af danske børsintroduktioner. Cand.Merc Hovedopgave, Århus Handelshøjskole.
SCHULTZ, Paul (2001), ’Pseudo market timing and the long-run performance of IPOs’, University
of Notre Dame, The Journal of Finance.
SUTTON, D. (2003): Computer-Intensive Methods for Tests About the Mean of an Asymmetrical
Distribution. Journal of American Statistical Association, 88 (423), s. 802-810.
SØRENSEN, O.; JAKOBSEN J. B. (2001): “Decomposing and Testing Long-term Returns: an
Application on Danish IPOs”, European Financial Management, Vol. 7, No. 3, pp. 393-417.
Andre informationskilder:

Datastream (database til rådighed på Århus Handelshøjskole)

Zephyr (database til rådighed på Århus Handelshøjskole)

Danmarks statistik

Danmarks Nationalbank

Nasdaq OMX Nordic Exchange