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...

This paper investigates long-run returns by utilizing log-normal distribution properties <p> of cross-sectional buy-and-hold returns. We decompose expected cross-sectional buy-and- <p> hold returns into transformed mean components and volatility components. This <p> decomposition shows that the...</p></p></p>

The paper investigates the short-run price adjustment around acquisition announcements and the long-run upward bias of cross-sectional average buy-and-hold returns. The geometric Brownian motion model is applied to decompose the cross-sectional average long-run returns into transformed mean and...