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Table 8
Post-IPO Stock Return Performance of CVC Backed and IVC Backed IPOs
The table presents the time-series regressions of post-IPO monthly returns of CVC backed and IVC backed IPO firms using Fama-
French’s three-factor model:
(Rpt – Rft) = α + β (Rmt – Rft) + s SMBt + h HMLt + εt,
where Rpt is the return on the portfolio of sample firms in month t; Rmt is the return on the index of NYSE, Amex, and NASDAQ stocks in
month t; Rft is the 3-month T-bill yield in month t; SMBt is the return on small firms minus the return on large firms in month t; and HMLt
is the return on high book-to-market stocks minus the return on low book-tomarket stocks in month t. The factor definitions are described
in Fama et al. (1993). The sample period is January 1980 to December 2004, and sample firm returns are included in a particular monthly
portfolio if the firm's IPO occurred within the last 36 months. Panel A presents
Parameter estimates are presented with t-statistics in parentheses.
α β s h m R 2
Panel A: OLS Regressions for Equal Weighted Portfolio of IPO Firms
CVC backed 1.714 1.331 1.434 -1.137 -0.320 0.72
(4.03)*** (13.97)*** (9.01)*** (7.37)*** (3.13)***
IVC backed 0.578 1.191 1.254 -0.594 -0.322 0.9
(2.78)*** (21.76)*** (15.69)*** (7.11)*** (4.47)***
CVC-IVC 1.096 0.128 0.171 -0.553 0.003 0.14
(3.02)*** (1.85)* (1.30) (4.22)*** (0.04)
LCVC 0.879 1.362 1.294 -1.039 -0.314 0.78
(2.47)** (11.94)*** (10.47)*** (7.41)*** (3.02)***
HCVC 1.832 1.327 1.389 -1.171 -0.331 0.64
(3.56)*** (11.70)*** (6.91)*** (6.28)*** (2.75)***
LCVC-HCVC -0.501 0.089 0.023 0.087 0.045 0.03
(1.14) (0.74) (0.13) (0.53) (0.45)
Panel A: WLS Regressions for Value Weighted Portfolio of IPO Firms
CVC backed 3.621 1.382 1.030 -1.676 -0.153 0.71
(6.68)*** (11.30)*** (6.40)*** (8.02)*** (0.96)
IVC backed 2.475 1.283 0.917 -0.991 -0.040 0.84
(9.62)*** (16.33)*** (8.82)*** (8.85)*** (0.54)
CVC-IVC 1.102 0.089 0.106 -0.689 -0.113 0.14
(2.40)** (0.93) (0.69) (4.02)*** (0.83)
LCVC 3.007 1.511 0.827 -1.648 -0.114 0.7
(5.16)*** (10.94)*** (4.96)*** (6.62)*** (0.64)
HCVC 3.786 1.287 1.173 -1.646 -0.126 0.61
(5.92)*** (8.30)*** (6.01)*** (6.90)*** (0.73)
LCVC-NCVC -0.436 0.257 -0.164 0.056 -0.036 0.02
(0.69) (1.79)* (0.87) (0.22) (0.25)
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