Jakobsen, Jan Bo; Voetmann, Torben - In: Annals of Economics and Finance 6 (2005) 2, pp. 337-363
In this paper, we introduce a new approach for interpreting long-run returns; which we then test on IPOs and SEOs in Denmark. We demonstrate that by decomposing the mean and volatility components of the expected crosssectional buy-and-hold returns, we can improve the interpretation of long-run...