In this paper, we introduce a new approach for interpreting long-run returns; which we then test on IPOs and SEOs in Denmark. We demonstrate that by decomposing the mean and volatility components of the expected crosssectional buy-and-hold returns, we can improve the interpretation of long-run...

The Internet is known to have had a powerful impact on on-line retailer strategies in markets characterised by long-tail distribution of sales [C. Anderson, Long Tail: Why the Future of Business is Selling Less of More, Hyperion, New York, 2006]. Such retailers can exploit the long tail of the...

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...</p></p></p>