Hamburg Financial Research Center

Publications

Our research findings contribute to the public debate on current financial and economic issues. By publishing our work in international academic journals and in our Working Paper Series, we aim to make it accessible to the widest possible audience.

HFRC Working Paper Series

Our working papers summarize the latest findings from the institute’s research activities. They are intended as contributions to academic discussion and are designed to encourage critical reflection and commentary on the results.

Alle Working Papers
Hamburg Financial Research Center
HFRC Working Paper Series

Estimating Industry Betas via Machine Learning: Promises and Pitfalls of Multi-Output Predictions

Hamburg Financial Research Center
HFRC Working Paper Series

Don’t draw the downs apart – How to best simulate asset price drawdowns

Publications by Matthias Kammermann

Long-run performance of initial public offerings: The evidence from Switzerland

Wolfgang Drobetz, Matthias Kammermann, Urs Wälchli
Schmalenbach Business Review | 07/2005
We examine the underpricing and long-term performance of a broad set of Swiss IPOs from 1983 to 2000. The average market adjusted initial return is 34.97%. Our results support the ex ante uncertainty hypothesis, the signalling hypothesis and, to some extent, the market cyclicality hypothesis as possible explanations for the underpricing phenomenon on the Swiss IPO market. We also find evidence for lower initial returns under increased competition among investment banks, and more accurate pricing when book-building is used. To accurately measure the long-term performance of Swiss IPOs, we use a variety of different methods and adjust for possible biases. In contrast to previous findings for the U.S., we do not find a significant drop or strong continuous underperformance of Swiss IPO stock prices in the aftermarket. If there was any evidence for underperformance at all, Swiss IPOs show poor returns only in the very long-run after 48 months of trading.