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PRIVATISING NATIONAL OIL COMPANIES: ASSESSING THE IMPACT ON FIRM PERFORMANCE - page 20 / 30

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20 / 30

Mean

20.8%

20.4%

93.1%

160.6%

-5.9%

23.2%

60.7%

5.9%

54.3%

84.6%

Std dev.

36.3%

47.7%

154.3%

161.3%

49.4%

130.5%

159.8%

47.1%

152.5%

143.3%

Median

5.6%

8.3%

50.9%

131.9%

-7.4%

15.4%

43.8%

3.0%

8.6%

26.5%

Min

-8.8%

-32.0%

-58.1%

-69.6%

-172.6%

-78.0%

-122.7%

-51.9%

-110.6%

-130.8%

Max

136.1%

215.8%

670.5%

565.7%

135.9%

567.8%

605.2%

207.1%

636.0%

494.0%

We calculate buy-and-hold abnormal returns (Barber and Lyon 1997) over one-,

pessimistic a long-term outlook on the performance improvements available to

three- and five-year periods, i.e. subtract the contemporaneous return on an index

consistently improve in the longer run, suggesting that the market tends to take too

from the return on each privatised firm’s shares. Benchmark indices are the

country and industry index). In fact, both absolute and abnormal share returns

Datastream Total Market Index for each country, and the Datastream Global Oil and

(over the longer run oil and gas SIPs substantially outperform both their respective

Gas Index. Both straight and value-weighted performance averages are shown to

the industry as a whole underperformed relative to country indices) nor across time

account for the possibility of outperformance of smaller stocks. We further report the

benchmarks (there is an outperformance relative to the industry index, suggesting that

initial offer return20, which indicate moderate (at the median level) to substantial (at

Rel. to Global O&G index (%)

1y

3y

5y

privatisation offers relative to country indices, but this is neither consistent across

the mean level) underpricing of oil and gas privatisations.

Within the first year, there is some evidence of stock underperformance of

Table 5: Buy-and-hold abnormal returns

Rel. to country index (%)

1y

3y

5y

Simple averages, buy-and-hold returns, excluding IPO return on 1st day of trading

65.4%

Initial offer return

1y

Absolute return (%) 3y

5y

Initial offer returns for 22 IPOs in the sample are reported in the second column; buy-and-hold returns for all 28 privatisation offerings exclude initial offer return (i.e. assuming that shares are bought at closing price of first trading day).

0.6%

21.3%

Weighted averages (by market cap at end of 1st day of trading, in inflation-adjusted US$)

Wgt.avg.

6.0%

12.4%

45.4%

132.2%

  • -

    8.3%

  • -

    6.5%

18.8%

Notes:

which have been taken over and delisted, the 26 remaining firms as of 01 March 2007 had an aggregate market capitalisation of almost US$1.4 trillion.

20 For the six companies already listed, initial offer returns are based on the closing share price on the last day before issuance of the shares to investors.

20

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