The Pricing of Portuguese Privatisation Second Initial Public Offerings

Table 5

AR and CAR for 1 to 12, 36, and 60 months.

Months		𝑁	AR	CAR	𝑡CAR
Short-run Aftermarket	1	15	−7,1%	−7,0%	−3,20767***
	2	15	−5,5%	−12,5%	−3,7942***
	3	15	2,4%	−10,1%	−3,5513***
	4	15	−2,0%	−12,1%	−3,7294***
	5	15	5,4%	−6,7%	−0,65324
	6	15	1,1%	−5,5%	−0,50533
	7	15	−0,7%	−6,2%	−0,53367
	8	15	−3,5%	−9,8%	−0,81478
	9	15	−2,5%	−12,2%	−0,96539
	10	15	3,1%	−9,1%	−0,6576
	11	15	0,4%	−8,7%	−0,62113
	12	15	−1,7%	−10,4%	−0,67213
	(⋯)	(⋯)	(⋯)	(⋯)	(⋯)
Long-run Aftermarket	36	14	0,6%	−5,7%	−0,31579
	(⋯)	(⋯)	(⋯)	(⋯)	(⋯)
	60	12	−0,02%	−13,5%	−0,54349

The table reports cumulative returns on the equally weighted Portuguese PSIPOportfolio for 1 to 12, 36, and 60 months after the first (or only) public offer (CAR) as well as the corresponding monthly returns (AR). ***, **, and * denote, respectively, a return statistically different from zero for 1%, 5%, and 10% significance levels.