The Pricing of Portuguese Privatisation Second Initial Public Offerings

Table 4

1 to 12-, 36-, and 60-month BHR and BHAR.

Months		𝑁	BHR	BHAR	# BHAR > 0	𝑡BHAR
Short-run Aftermarket	1	15	−5,4%	−7,1%	3	−3,20767***
	2	15	−9,9%	−12,1%	1	−3,91777***
	3	15	−7,2%	−10,1%	3	−3,631***
	4	15	−8,7%	−11,9%	3	−3,8785***
	5	15	−2,2%	−6,8%	2	−0,72954
	6	15	0,1%	−5,0%	4	−0,48288
	7	15	2,5%	−5,2%	4	−0,45987
	8	15	2,3%	−8,2%	4	−0,72498
	9	15	1,9%	−10,2%	2	−0,86628
	10	15	5,7%	−6,4%	6	−0,50836
	11	15	5,5%	−6,3%	5	−0,50836
	12	15	4,8%	−7,0%	4	−0,57442
	(⋯)	(⋯)	(⋯)	(⋯)	(⋯)	(⋯)
Aftermarket	36	14	56,5%	−4,8%	5	−0,27282
	(⋯)	(⋯)	(⋯)	(⋯)	(⋯)	(⋯)
	60	12	76,5%	−9,0%	5	−0,42775

The table reports returns earned with a buy and hold strategy of the equally weighted Portuguese PSIPO portfolio for 1 to 12, 36, and 60 months following the first (or only) public offer, both with (BHAR) and without (BHR) adjustment for market movements. ***, **, and * denote, respectively, a return statistically different from zero for a significance level of 1%, 5%, and 10%.