Decomposing and testing Long-run Returns with an application to initial public offerings in Denmark

An improved method for measuring and testing long-run returns is proposed. The method adjusts <p> for the right-skewed distribution of long-run buy-and-hold by decomposing average cross-sectional <p> buy-and-hold returns into mean components and volatility components. The method is <p> applied to initial public offerings in Denmark. The mean-component under performance of initial <p> public offering stocks compared to the market is 30 percent and significant after five years. <p> Compared to matching firms the under performance of IPO stocks is 13 percent after five years <p> but insignificant.