Tests with Abnormal Portfolio Returns
Initial public offerings from 1980 to 2002 are from the Securities Data Company (SDC) database. Similar to Chemmanur and Paeglis (2005) and Lowry and Schwert (2004), real estate investment trusts (REITs) (SIC 6798) and closed-end funds (SIC 6726) are dropped from the sample. Following Ritter (1991) and Teoh et al. (1998), I also exclude so-called penny stocks with an offer price of one dollar or less and unit offerings from my sample.32
KeywordsAbnormal Return Excess Return Information Risk Real Estate Investment Trust Portfolio Return
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