Underpricing and long-run performance of Norwegian initial public offerings : An empirical investigation of factors that impacts short and longterm returns of Norwegian initial public offerings
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- Master Thesis 
In this master's thesis, we have investigated several factors that could account for the underpricing and long-term performance of initial public offerings in Norway. We used size, equity beta, and a PE/VC dummy variable as explanatory factors for underpricing. We extended the Fama-French (1992) multifactor model to account for liquidity and momentum in the long-run performance. We also utilize both cumulative abnormal returns (CAR) and buy-and-hold returns (BHR) for the long-run analysis. Our findings show that PE/VC-sponsored IPOs are more underpriced, but not at a statistically significant level. Size and risk do not impact the level of underpricing at a statistically significant level either. In terms of long-run performance, CAR exhibits underperformance of PE/VC-sponsored IPOs, with smaller firms underperforming to a larger extent. BHR results vary drastically over time between PE/VC and non-sponsored firms, but this seems to be a result of market dynamics as opposed to sponsoring. None of the risk-adjusted models return significant alphas, but value-weighted portfolios indicate slight underperformance for PE/VCsponsored IPOs. Covid-19 also had an influence on our results, as PE/VC-sponsored IPOs significantly outperformed non-sponsored IPOs for a short duration. Lastly, both equally- and value-weighted portfolios’ market exposure was influenced by the pandemic.