Анализ долгосрочной доходности российских IPO

In this research I aim to answer two research questions. Firstly, I aim to identify if the Russian IPOs underperform the market in the 1-year horizon after the offering. Secondly, I aim to identify the factors from historical financial reports of private firms that can explain and predict the future long-term returns of the shares after the IPO. In the first chapter, I review the literature for the past 30 years on these topics and find that the underperformance is a common feature of IPOs. Also, I find out that there is a wide range of factors from financial reports that can be used in order to predict the stock returns – mainly, linked to future profitability and risk. In my own data analysis, I found out that i) Russian IPOs seem not to underperform the market, ii) leverage ratio appears to be a robust and significant proxy for the future returns and ROE value seems to be a less confident but nevertheless viable proxy.