We present a regression-based generalization of the calendar time portfolio approach which allows for decomposing the risk-adjusted performance of private investors (or firms or mutual funds) into multivariate and continuous subject characteristics. Our technique remedies several well-known...

Based on a new methodological framework we investigate IPO (under-)performance in asample of 7,378 firms going public in the 1975-2005 period. We explicitly vary the time horizonin our analysis and document a significant underperformance of IPO firms over the firstyear after going public, while...