The market performance of initial public offerings in the Philippines: An application of the capital asset pricing model and a test of market efficiency

Date of Publication


Document Type


Degree Name

Doctor of Business Administration

Subject Categories

Corporate Finance


Ramon V. Del Rosario College of Business


Management and Organization Department

Thesis Adviser

Errol P. Perez

Defense Panel Chair

Pablo F. Mangaran, Jr.

Defense Panel Member

Rhoderick R. Santos
Cleta Milagros Acebedo
Osman Luis Ranit


This paper studies the market performance of unseasoned issues offered to the public more commonly known as initial public offering or IPO for the period 1987-1993.Results of the study showed that Philippine IPOs registered a positive initial abnormal return of 29.31 percent and an average monthly return of 7.26 percent if the issue is held for a year. This proves IPO underpricing at 5 percent level of significance. The results support the theory of Rock on IPO underpricing. The performance of these new issues also suggests that investors who subscribed to these securities at offering price will realize the highest return if they sell on the first day of listing. There is no conclusive evidence to suggest that actively trading the new issues on a short-term buy strategy will give a better return than a long-term position.The market performance of these new issues suggests that prices are independent from period to period. This supports weak-form market efficiency. Returns on these new issues do not have a significant relationship to the factors that determine common stock returns suggested by Fama and French. The offering type is the only variable that can significantly explain the initial return of these unseasoned issues.

Abstract Format






Accession Number


Shelf Location

Archives, The Learning Commons, 12F Henry Sy Sr. Hall

Physical Description

192 leaves ; Computer print-out


Capital assets pricing model; Capital market; Investments--Mathematical models; Philippines--Commerce; Pricing

This document is currently not available here.