The Underperformance of Initial Public Offerings (IPOs): The Sensitivity of the Choice of Empirical Method.
This paper investigates the performance of Jordanian IPO’s using data from Amman Stock Exchange (ASE) over the period 1981-2002. We
studied the sensitivity of the model used to estimate the cumulative average abnormal returns. In doing that, we employed three different models
and used two approaches to test the result: Standard event-time analysis and the calendar-time approach. The three models used to estimate the
cumulative average abnormal returns produce significant negative abnormal returns when we employ event-time analysis. However, the calendartime
approach concludes that the long-term performance of Jordanian IPO’s is not different than that of the overall market.