B ad ield, D. J.; Hamp on, B. G.
A icle
The pos -lis ing pe o mance o new lis ings: A s udy on
he JSE
Sou h A ican Jou nal o Business Managemen
P o ided in Coope a ion wi h:
Uni e si y o S ellenbosch Business School (USB), Bell ille, Sou h A ica
Sugges ed Ci a ion: B ad ield, D. J.; Hamp on, B. G. (1989) : The pos -lis ing pe o mance o new
lis ings: A s udy on he JSE, Sou h A ican Jou nal o Business Managemen , ISSN 2078-5976, A ican
Online Scien i ic In o ma ion Sys ems (AOSIS), Cape Town, Vol. 20, Iss. 2, pp. 82-87,
h ps://doi.o g/10.4102/sajbm. 20i2.945
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82
S.-A . Tydsk .Bed y sl.1989,20(2)
The pos -lis ing pe o mance
o
new lis ings: A s udy on he JSE
O.J.
B ad ield* and B.G. Hamp on
Depa men
o
Ma hema ical S a is ics, Uni e si y
o
Cape_
Town, P i a e Bag, Rondebosch 7700
Republic
o
Sou h A ica
Accep ed Sep embe 1988
The au ho s examine he pos -lis ing pe o mance
o
new
isu~s
~n ~e JSE.
On
he basis
o
an empi ical s ~dy
conduc ed o e he 1975-1986 pe iod, e idence
is
p esen ed md1ca mg ha abno mal e ~ ns do occu
dunng
he pos -lis ing pe iod. The exis ence o ho and cold issue
pe iods_
a e ~lso ound
o_be
e iden o~ he JSE
_and
h
..&
·n
he a e ma ke
is
ound o di e subs an ially m hese penods. In ho issue penods
e pe, ,o mance 1 . 1. . · h
abno mal e u ns a e ound
in
almos he en i e 12-mon h penod subsequen o
1s~mg,
wi . excess e u ns
eaching
as
much
as
7% pe mon h du ing he subsequen yea . The esul s o cold
1ssu~
penods
~y
con as
e eal abno mal e u ns only up o he i s h ee mon hs a e issue, whe ea e su~s an 1ally nega i e e u~ns
occu
in
se e al subsequen mon hs. Signi ican posi i e ela ionships we e also e iden be ween he openmg
p emia and some impo an beha iou al cha ac e is ics
in
he a e ma ke , namely, abno mal e u ns one yea
a e issue and olumes aded
in
he a e ma ke .
Die ou eu s onde soek die nagelys e e oning an nuwe ui gi e op ?ie JEB. Gebasee
op_
'n empi iese s udie
oo die pe iode 1975-1986, wo d ge uienis gelewe om aan e dm da abno male_ e d1ens e
beko~
wo d
gedu ende die nagelys e pe iode. Daa
is
ge ind da oo e hi ~
en_
oo ~ koelde penodes
~s aan
?P
die JEB
en da die nagelys e e oning subs ansieel e skil ussen
h1~ d1e
pei: od~s._
In oo e h1 e pen~des wo d
abno male e diens es ge ind
in
bykans die hele 12-maande-penode na die
~1 g1
me abno male
_ e d1ens es
?
so eel
as
7% pe maand gedu ende die olgende jaa . Die esul a e i _oo e koelde
~no?e~
lewe m
eens elling daa mee, abno male e diens es slegs o en me die ee s e
dne
maande na
d~e
u1 g1 ,
"'.a~ na
abno male nega iewe e diens es plaas ind
in
e skeie daa op olgende m~and~.
Be ekem_s ol1e
pos1 1ewe
e wan skappe
is
ge ind ussen die openingsp emies en sommige belangnke
~1en_skappe
m die ?agelys e
pe iode, naamlik, abno male e diens e een
jaa
na ui gi en olumes e handel m die nagelys e pcnode.
•To whom co espondence should be add essed
In oduc ion
Recen ly e idence has come o he o e which e eals
ha unseasoned equi y issues ( commonly e e ed o as
new lis ings) ha e exhibi ed a subs an ial opening p emia
ela i e o hei issue p ice. Ba low & Spa ks (1986)
p esen ed e idence sugges ing ha opening p emia on
he Johannesbu g S ock Exchange (JSE)
in
pa icula ,
ha e been subs an ially la ge han hose
in
he UK,
USA, F ance and Japan. I is no clea howe e whe he
hese equi ies on he JSE con inue
o
exhibi supe io
excess e u ns
in
he sho o medium pos -lis ing pe iod,
o
whe he p ice adjus men
is
apid.
This pape in es iga es he pos -lis ing pe o mance
o
new lis ings on he JSE o e he pe iod 1975-1986.
The
i s sec ion
o
his pape e iews he esul s
o
ele an
s udies conduc ed on he London S ock Exchange
(LSE), he New Yo k S ock Exchange (NYSE) and he
JSE. In he second sec ion he empi ical analysis
is
conduc ed. Se e al aspec s
o
pos -ma ke pe o mance
a e in es iga ed in his sec ion. Fi s ly he sho o
medium pos -lis ing (a e ma ke ) pe iod will be unde
sc u iny o asce ain whe he signi ican abno mal
e u ns exis in he a e ma ke . Secondly he exis ence
o
ho and cold issue pe iods on he JSE
will
be es ed
wi h a iew
o
in es iga ing he a e ma ke pe o mance
in hese pe iods. The ea e he ela ionship be ween he
magni ude
o
he opening p emia and a ious sha e
cha ac e is ics in he a e ma ke , namely, excess
e u ns, ading olumes and sys ema ic isk a e
es ablished. In he las sec ion he hypo hesis ha
pe o mance in he a e ma ke is ela ed
o
he
unde w i e in ques ion is in es iga ed. Finally
conclusions and implica ions
o
ou
indings
a e
o e ed.
Re iew
o
esul s
Resul s on he
LSE
Ha is (1933) conduc ed he i s ex ensi e s udy on he
pos -ma ke pe o mance du ing he 1928 new issue
boom on he LSE. Ha is ound ha du ing he subse-
quen h ee-yea pe iod seasoned issues subs an ially
ou pe o med he unseasonal issues. This subsequen ly
led o a igh ening
o
he LSE's lis ing equi emen s.
Sco (1971) by con as ound ha new issues lis ed on
he LSE du ing
1965
ou pe o med he
ma ke
by a me e
1 % o e a subsequen
one
and ou -yea pe iod.
E idence p esen ed by Da is &
G an
(1972) showed
ha in i e
ou
o
six yea s anging om
1965
o
1970
new issues had a posi i e a e age excess e u n du ing
he subsequen one-yea pe iod, and ha he e was a
sligh endency o smalle i ms
o
ou pe o m la ge
i ms. Williams (1972) examined he longe e m
pe o mance
o
a sample
o
new issues o e he
1966
o
1970
pe iod, he ound an a e age excess e u n
o
6%
and 0,7% du ing he subsequen one-yea and wo-yea
pe iods espec i ely.
The
esul s
o
a s udy by Ro hman
(1973) using a ime se ies
o
p ice ela i es (wi h he
FT
A index) shows supe io pe o mance
o
new lis ings
up o
18
mon hs subsequen
o
lis ing. Vaughan, G inye
& Bi ley (1977) e alua ed he a e ma ke pe o mance
o
LSE unseasoned issues
on
an accoun ing basis du ing
S.A .J.Bus.Mgm .1989,20(2)
he 1966-1974
pe iod.
They
ound ha unseasoned
issues had much
highe
e u ns
on
asse s
han
seasoned
issues and
ha
on
a e age
he
annual a e
o
p o i
g ow h in
hei
i s ou yea s was double ha
o
seasoned issues.
Resul s
on
he
NYSE
The i s
s udy
on
he
NYSE in his ield was conduc ed
by
S igle (1964)
du ing
he
1923---1928
pe iod as well as
he
1949---1955
pe iod.
He
ound ha
he
ma ke -adjus-
ed p ice
pe o mance
o
new issues was
on
a e age
nega i e o
each
o
he
subsequen
i e yea s o bo h
he
abo emen ioned
pe iods.
Con a y
o hese esul s a
simple compa ison
o
a e age
e u n
o
new issues wi h
he Dow-Jones
Index
by Reilly & Ha ield
(1969)
aken
a
one
week,
ou week
and
one
yea in e als
subsequen o lis ing
du ing
1964
and
1965
showed
subs an ial gains
o
new
issues
o e
he Dow-Jones Index
on a non- isk
adjus ed
basis. Blum (1971) as well Logue
(1973)
also
documen ed
excess abno mal e u ns o new
lis ings du ing
he
1965-1969 pe iod.
Ri e (1984)
examined
his 'specula i e bubble
hypo hesis'
du ing
he
1977-1982
pe iod.
The
hypo hesis
implies
ha
o e
p ices
a e
se co ec ly bu ha high
ini ial
e u ns
esul om specula i e excesses. Ri e
a gues
ha
in
heo y
he e
should be adjus men pe iods
o
sha p p ice
d ops
in
he
a e ma ke (when
he
'bubble
bu s s'),
howe e
he ound no e idence
o
his.
Resul s
on
he
JSE
Rela i ely ew s udies, by
con as ,
ha e been conduc ed
on
he
JSE.
An
ea ly
s udy by Richa ds (1935)
on
new
lis ings
and
a e ma ke
pe o mance un o una ely did
no
ake
ma ke
mo emen
in o accoun , hence he
esul s will
no
be
quo ed
he e. A mo e ecen s udy was
conduc ed by
Wood
(1986)
on
a sample
o
47
new issues
on
he
JSE
du ing
he
pe iod
Janua y
1975
o May
1986.
Al hough
Wood
documen ed
an a e age nega i e e u n
using
he
p ice
on
he
i s Monday a e lis ing
and
he
p ice a
yea
a e
lis ing,
no
p o ision o sys ema ic isk
was howe e
made.
Wood
concludes ha o e p icing
occu s ini ially, gi ing ise
o
nega i e e u ns in he
a e ma ke .
Ba low &
Spa ks
(1986) concen a ed
on
he opening
p emium
o
105 new issues du ing he pe iod
1972
o
1986.
They
ound
a
mean
opening
p emium
o
32,1%
du ing his
pe iod.
By
con as
he weigh ed a e age
o
he
opening
p emia
on
majo
Exchanges
o he
han he
JSE was 16,
7%,
i.e. subs an ially smalle
o e
his
pe iod. Ba low
and
Spa ks
did
no
howe e in es iga e
he
a e ma ke
pe o mance
o
unseasoned issues.
Emp ical e idence
The
da a
This s udy includes all new lis ings
ha
occu ed
on
he
JSE
du ing
he
pe iod
May
1975
o
Augus
1986.
This
amoun ed
o
77
unseasoned
issues. De ails
o
hese
issues
a e
summa ized
in
he
appendix. A ime se ies
o
he ele an dayly, weekly
and
mon hly p ice
da a
was
cap u ed
o e
he
subsequen
yea
om
he
lis ing
da e,
83
as well as he co esponding
JSE
O e all index o
each
o
he
77
sha es
De ails ela ing o
he
o e
o
hese issues we e
ex ac ed om
he
s udy conduc ed by Ba low & Spa ks
(1986).
Calcula ions o excess e u ns
The me hodology
o
in e p e ing
e u ns
in a
isk-
adjus ed amewo k
is
impo an
in s udies
whe e
e u ns canno ealis ically be
in e p e ed
on
hei
own
wi hou conside ing
he
concep
o
isk.
McDonald & Fishe (1972)
and
Reilly & Ha ield
(1969)
bo h assume a
be a
o
uni y o each secu i y in
hei compu a ions
o
excess e u ns in
he
a e ma ke
pe iod. This
is
hough
o
be
an
o e -simpli ica ion,
especially o he Sou h A ican case
whe e
sha es
his o ically exhibi a la ge ange
o
be as. By
con as
Ibbo son
(1975)
p oposed an excess
e u n
model
based
on
e u ns ac oss ime
and
secu i ies (RATS).
The
RATS model
is
el o be o e -elabo a e
and
he
addi ional complexi y
is
el
o
be
unwa an ed
in
he
con ex
o
he objec i es he e.
The
well-known excess
e u n
model gi en below was
used
o
es ima e e u ns
ha
we e highe /lowe
han
expec ed
on
he basis
o
he
sys ema ic isk,
J3,
o
he
secu i y,
j:
whe e
E;,
is
he excess e u n
on
sha e j
a
ime
;
R;,
is
he ac ual e u n
on
sha e j
a
ime
;
,1 is
he
isk- ee
a e
o
in e es ;
'3i
is
he
sys ema ic isk
o
sha e
j;
and
Rm,
is
he ac ual e u n
on
he
ma ke
a
ime
.
Be as o each secu i y we e
es ima ed
using
he
well-
known ma ke model, i.e. mon hly e u ns eg essed
agains
he
co esponding e u ns
on
he
JSE
O e all
index o
one
yea subsequen o
he
lis ing
da e.
Since se e al objec i es equi ing di e ing es ing
me hodologies we e in es iga ed,
he
me hodologies
and
esul s
will
be
discussed sepa a ely below.
A e ma ke pe o mance
Reilly & Ha ield (1969) ha e sugges ed
ha
p ice
adjus men a e lis ing con inues in
he
longe
e m
as
he ma ke ecognizes
and
adjus s o unde p icing
o
he
o e p ice. This sugges s posi i e excess
e u ns
in
he a e ma ke .
In
o de
o
assess
he
pe o mance
o
new lis ings in
he a e ma ke , excess e u ns om each
o
he
77
new
lis ings
on
he
JSE
we e
compu ed
using model (1) o e
each
o
he oJJowing pe iods:
(0-1) -Close
o
o e o closing p ice
on
i s
day
o
ading.
(0-3) -Close
o
o e
o
closing p ice
on
Monday
one
yea a e lis ing:
(1-2) -
End
o
i s
day
o
ading o
Monday
one
mon h
a e lis ing.
(1-3) -
End
o
i s
day
o
ading
o
Monday
one
yea
a e lis ing.
84
Table 1 A e age excess e u n
o
he 77 issues du ing
one yea subsequen
o
issue
Pe iod Pe iod Pe iod Pe iod Pe iod
0-1 0-3 1-2 1-3 2-3
Mean excess
Re u n 27,0% 92,1% 3,7% 29,0% 24,3%
s a is ic1 6,07 5,17
1,51
2,93 2,67
(2-3) -Monday one mon h a e lis ing o Monday one
yea a e lis ing.
The abo e pe iods a e simila o hose used by
McDonald & Fishe (1972) and Reilly & Ha ield (1969).
Table 1 shows he mean and associa ed -s a is ics
o
he excess e u n
o
he 77 new lis ings compu ed o e
he abo e pe iods.
Inspec ion
o
Table 1 shows ha all he mean excess
e u ns a e posi i e and signi ican ly g ea e han ze o
(a he 5% le el) wi h he excep ion
o
pe iod 1-2
ep esen ing he excess e u n o e one mon h
subsequen o lis ing.
The
abo e e idence sugges s ha
abno mal e u ns do exis
in
he a e ma ke
o
new
lis ings on he JSE.
His o ically he e ha e howe e been pe iods when
new lis ings ha e been mo e ac i e han o he s. Since he
pe iod unde s udy co e s an ex ensi e pe iod
o
11
yea s
i
is
wo h conside ing whe he i embodies pe iods
o
his na u e, and i so, whe he di e en esul s can be
expec ed
in
he a e ma ke du ing hese pe iods.
Ho and cold issue pe iods
The exis ence
o
ho and cold issue pe iods was i s
conside ed by Ri e (1984) on he NYSE. Ri e ound
ha signi ican di e ences exis ed be ween opening
p emia
in
ho and cold issue pe iods.
In o de o es ablish whe he his phenomenon exis s
on
he
JSE
a simila me hodology was used o ha used
by Ri e .
By
a cu so y examina ion
o
he opening
pe mia he pe iod Augus 1985 o he
end
o
he pe iod
o
s udy, ha
is
Augus 1986, was p oposed as a
po en ial ho issue pe iod on he JSE.
The
po en ial cold
issue pe iod was p oposed om May 1975 o July 1985.
Table 2 shows he ele an summa ized s a is ics o e
he abo e-~en ioned pe iods.
E en hough opening p emia o bo h pe iods
in
Table
2 a e ela i ely la ge, he issue unde conside a ion he e
is
whe he a s a is ically signi ican di e ence be ween
he p emia in he wo p oposed pe iods exis . In
o de
o
es his, an ammended - es was used o he speci ic
Table 2 Ho and cold issue pe iod s a is ics
Ma ke Mean opening S anda d Numbe
o
Annual a e
S a e p emium de ia ion lis ings o lis ings
Ho issue
Cold issue 48
25
46
24
40
37
36,9
3,7
S.-A .Tydsk .Bed y sl.1989,20(2)
case whe e he sample a iances
a e
signi ican ly
di e en (Unde hill, 1981: 257).
The
es yielded a
alue
o
2,
78
which
is
signi ican a he 1 % le el. This
e idence sugges s ha ho and cold issue pe iods exis
wi hin which opening p emia
do
di e signi ican ly.
As s a ed ea lie he exis ence
o
ho
and
cold issue
pe iods
is
likely o impac di e en ly
on
he a e ma ke
pe o mance
o
new lis ings in hese pe iods.
In
o de
o in es iga e his possible
e ec
he excess
e u ns o e he i s mon h o all issues in he ho issue
pe iod
we e
a e aged. This p ocess was
epea ed
o he
second mon h and con inued up o he wel h mon h
a e lis ing. This p ocedu e was
epea ed
o sha es
lis ed
in
he cold issue pe iod.
The esul s o he ho issue
a e
shown in Figu e 1
while he esul s o he cold issue pe iods
a e
shown
in
Figu e
2.
Inspec ion
o
he g aph
o
a e age excess e u ns o
issues
in
he ho issue pe iod shows
ha
wi h excep ion
o
a e y small nega i e a e age excess e u n o he
six h mon h a e issue, excess e u ns
a e
subs an ially
posi i e o each mon h
o e
he subsequen yea . O
pa icula in e es
is
he ques ion
o
whe he
specula i e
bubbles as de ined by Ri e (1984) occu .
The
implica-
ion
o
his heo y
is
ha
specula i e excess causes he
p ice o ise sho ly a e lis ing. This ise would hen be
ollowed by sha p p ice declines in he a e ma ke . The
g aph
o
he ho issue pe iod shows a posi i e bu
declining excess e u n igh up o he six h mon h.
0.08~----------------,
0,07
0.06
0,05
0,04
E o.03
j 0,02
~
o.o~-i--------~.,....._,.z__
______
--1
1ij
---0,01
i---0,02
:,;
---0,03
:i
---0,04
---0,05
---0,06
---0,07
---0,08-1-- -,----.--~-- --,----.-~~-..---,---<12
0 2 4 6 8 10
Mon h
Figu e
1 A e age excess e u ns o ho pe iods
0,08~-----------------,
0,07
0.06
0,05
E o.04
.a
0,03
!!!
0,02
:i
0,01
i
o+-
...........
:::::::..._--->,,---~--->..---- --,
~
---0,01
1 --0,02
:::E
--0,03
---0,04
---0,05
--0,06
--0.07
--0,08+-~-.----.--~-- --,---,,-~~-- -.......----,
0 2 4 6 8 10 12
Mon h
Figu e 2 A e age excess e u ns o cold pe iods
S.A .J.Bus.Mgm .1989,20(2)
Recall ha
he
in e p e a ion
o
excess e u ns imply
ha hese
a e
he e u ns
o e
and abo e/below hose
p iced acco ding
o
he gi e~ le el
o
isk as indica ed by
model (1). Consequen ly Figu e 1 shows e idence
ha
p ices gene ally ise subs an ially o he i s i e mon hs
whe ea e a le elling o ,
o ,
on
a e age a e y sligh
decline occ~ ed i~
he
six h mon h. The ea e p ices
ended
o
nse
ai ly sha ply esul ing in
an
abno mal
e u n peak
o
7
,2%
pe
mon h in he eigh mon h and
emaining abo e he 2,5%
pe
mon h le el o he
emainde
o
he yea . This beha iou
is
no consis en
wi h he specula i e bubble hypo hesis p oposed by
Ri e (1984) as
he e
a e
no sha p p ice declines e iden
in
he
a e ma ke
associa ed wi h he ho issue pe iod.
Figu e 2 depic ing
he
mon h
o mon h pe o mance
o
secu i ies in
he
cold issue pe iod show a di e en and
somewha
mo e
e a ic pic u e.
Inspec ion
o
Figu e 2 shows
ha
small, bu posi i e
excess e u ns
a e
e iden
o he i s h ee mon hs a e
issue, eaching 1,2%
pe
mon h
in mon h 3.
Fo
he
emainde
o
he
yea , mon hs 4, 5, 6, 8, 9 and 10 show
nega i e excess
e u ns
wi h posi i e peaks in mon hs 7
and
11.
The e
is
no
ob ious plausible eason o he
e a ic p ice beha iou a e he hi d mon h
o
lis ings in
cold issue pe iods.
Hence
i can only
be
concluded
ha
no disce nable p ice beha iou is e iden o e he
emainde
o
he
subsequen yea . This is in con as
o
he
ho
issue
pe iod
whe e e u ns
a e
ound
o
be
gene ally consis en ly supe io in he a e ma ke
pe iod.
Opening
p emia and a e ma ke pe o mance
Al hough
he
abo e esul s sugges ha high opening
p emia
a e
gene ally associa ed wi h a consis en ly
supe io
a e ma ke
pe o mance, a mo e di ec es
o
his ela ionship
is
conside ed he e.
The me hodology used he e was p oposed by
McDonald & Fishe (1972).
The
popula ion
o
new
lis ings was pa i ioned by opening p emia exceeding
50%. A o al
o
21
sha es wi h opening p emia g ea e
han 50%
ou
o
he
77 sha es we e iden i ied he e. The
mean excess
e u n
o
hese sha es o a
one
yea pe iod
was es ed agains
he
co esponding mean excess e u n
o
he popula ion
o
77 sha es.
The
sample mean
o
he
21
pa i ioned sha es was 76%
pe
annum while he
mean
o
he
popula ion
o
77 sha es was 29% wi h a
s anda d de ia ion
o
86,9%
pe
annum. This esul ed in
a Z alue
o
2,478 which
is
signi ican a he 1 % le el.
This e idence sugges s
ha
issues wi h ela i ely
la ge
opening
p emia
gene ally ha e highe han
a e age
a e ma ke excess e u ns o e he subsequen yea .
In
o de
o
assess how well he magni ude
o
opening
p emia co ela es wi h he magni ude
o
a e ma ke
pe o mance, he co ela ion coe icien be ween he
opening
p emia
and
he
excess e u ns one yea sub-
sequen
o
lis ing was compu ed o he se ies
o
77 new
issues. This esul ed in a alue
o
0,287 which
is
signi ican
a
he
2,5%
le el implying a signi ican
posi i e ela ionship exis s be ween he size
o
he
opening p emium and he ex en
o
a e ma ke gains.
85
The abo e indings suppo he asse ion made by
se e al esponden s o a su ey by Ba low & Spa ks
(1986), ha in
o de
o a sha e o ha e a success ul
pe o mance a e lis ing, i should
make
i s
debu
wi h a
ela i ely la ge opening p emium.
Opening
p emia
and
olumes aded
I has been con ended by Ying (1966)
ha
sha e p ices
and ading olumes a e join p oduc s
o
a single ma ke
mechanism and should be conside ed oge he in he o -
mula ion
o
a model
o
s ockma ke beha iou . In he
con ex
o
new issues i
is
wo h conside ing
whe he
sha es wi h ela i ely la ge opening p emia a ac
mo e
specula i e ac i i y
o
ice e sa.
~n
o de
o es ablish whe he a signi ican ela ionship
exis s be ween olume
aded
and
opening
p emia,
·
olume s a is ics o each
o
he
77 sha es we e
compu ed. These we e ob ained by summing he o al
olume
o
sha es aded du ing he yea subsequen
o
lis ing and scaling his amoun by he
numbe
o
sha es
issued a he lis ing da e o each sha e.
The co ela ion coe icien be ween he opening
p emia and he olume s a is ics was ound
o
be
0,32.
This
is
signi ican
a
he 1 % le el indica ing
ha
a
signi ican ela ionship exis s be ween he
opening
p emia and he olumes
aded
in
he
a e ma ke .
Opening
p emia
and
sys ema ic isk
Al hough i has been es ablished in an ea lie sec ion
ha he magni ude
o
opening p emia
is
ela ed
o
he
magni ude
o
isk adjus ed e u ns, his has no di ec
bea ing
on
he possible ela ionship be ween opening
p emia and sys ema ic isk as measu ed by be a.
This ela ionship is in es iga ed
he e
using
he
be a
alues es ima ed o each
o
he 77 sha es
o e
he
subsequen yea
a
mon hly in e als as discussed in
an
ea lie sec ion.
The
appendix con ains he
be a
es ima es
and hei associa ed R2 s a is ics. Al hough se e al
o
he
R2 and
be a
es ima es a e seen o be ai ly small, his is a
well known occu ence
on
he
JSE
and has been
documen ed by B ad ield,
Ba
& A leck-G a es (1988)
as well as se e al
o he
esea che s. This ends
o
imply
ha unique isk
is
dominan o sha es wi h low R2
o e
he yea subsequen o lis ing.
The co ela ion coe icien be ween sha e
be a's
and
hei co esponding opening p emia was ound
o
be
only 0,
13
which is
no
signi ican e en
a
he
20% le el
(conside ing a wo-sided al e na i e).
Hence
no
signi i-
can · ela ionship was ound o exis be ween opening
p emia and sys ema ic isk.
A e ma ke pe o mance
and
he unde w i e
I has been sugges ed
ha
he e could
be
a signi ican
di e ence in he a e ma ke pe o mance
o
sha es
unde w i en by
one
o ganiza ion compa ed
o
he
pe o mance
o
sha es unde w i en by ano he . A
plausible eason o his is
ha
conse a i e
o ganiza ions
end
o
unde w i e new lis ings
o
companies which
a e
al eady
ma u e
and
can hus expec
lowe g ow h
han
newe ,
mo e
ola ile companies.
The

86
sha es
o
he
la e companies, pa icula ly hose lis ed
on he DCM, end
o
be unde w i en by less conse -
a i e
o ganiza ions.
Fo
he pu pose
o
es ing his hypo hesis, only hose
unde w i e s we e conside ed who unde w o e i e
o
mo e lis ings ou
o
he
71.
Al hough
16
di e en
o ganiza ions in o al we e in ol ed in he unde w i ing
o
he
71
lis ings, only ou o hese unde w o e i e
o
mo e lis ings. This amoun ed o a sample o
35
lis ings.
Table 3 lis s he ou o ganiza ions and hei mean
excess e u ns o e he subsequen yea o he
companies hey unde w o e du ing
he
sample pe iod.
F om Table 3 he mean excess e u n o he lis ings
unde w i en by Senbank
and
S anda d MB appea
o
be
subs an ially g ea e han hose unde w i en by
Ba clays MB and UAL.
To
de e mine whe he he
abo e means we e s a is ically signi ican an Analysis
c:l
Va iance es
was
pe o med on he sample.
Table 4 shows he de ails
o
he es .
The
small F a io ound in Table 4
is
clea ly no
signi ican e en a he 20% le el. This implies ha none
o
he
abo e means a e s a is ically di e en om he
o he s. E en hough i appea s as i Senbank and
S anda d
MB
ha e mean e u ns a supe io
o
he
o he s, his in ac is misleading, hei a e ma ke
pe o mance ( as measu ed by excess e u ns)
is
no
signi ican ly di e en om he o he s.
The
high
a iabili y
o
he new lis ings o hese unde w i e s
shown in Table 3 suppo s his conclusion.
Conclullon
The
esul s
o
ou
analysis ha e se e al implica ions o
in es o s and specula o s on he JSE.
Ou
esul s sugges
ha abno mal e u ns do exis in
he
pos -lis ings pe iod
o
new issues, in pa icula , i ho issue pe iods a e
iden i ied, ha subs an ial abno mal e u ns ha e
been
ound o occu du ing he yea subsequen o lis ing in
hese pe iods.
In
cold issue pe iods, howe e ,
ou
esul s
show
a e age
abno mal e u ns occu ing
up
o he hi d
T
....
3
A e age
excess
e u'n based on unde w i e
Mean exceu e u n
S anda d de ia ion
Unde w i e
S anda d Ba clays
Senbank MB
MB
UAL
68,7% 74,1% 7,3% 7,1%
125,4% 125,5% 52,0% 42,5%
No.
o
companies
Ha ed
12 9 6 8
T
....
4
ANOVA
able
Sum o Dea cea o Mean
Sou ce squa es eedom squa e
F a o
Be ween unde w i e s
34408
3
11469
1,094
Wi hin unde w i en 325 109
31
10487
To al 359 517 34
S.
-A .
Tydsk
.Bed y sl.1989
.20(2)
mon h a e lis ing,
bu
he
a e age abno mal e u ns a e
only
o
he o de
o
1 %
pe
mon h. By con as a e age
abno mal e u ns in excess
o
7%
pe
mon h
ha e been
documen ed in
he
a e ma ke
o
lis ings in
he
ho
issue
pe iod.
Fu he
ou
esul s indica e
ha
a signi ican posi i e
ela ionship exis s be ween opening
p emia
and some
impo an beha iou al cha ac e is ics in
he
a enna ke .
In
pa icula a signi ican ela ionship was ound
o
exis
be ween he opening p emia and abno mal e u ns one
yea a e issue. This implies
ha
secu i ies wi h high
opening p emia gene ally ha e ela i ely highe
abno mal e u ns in hei espec i e a enna ke
pe iods. A signi ican ela ionship was also ound o exis
be ween he opening p emia and
he
olume
o
sha es
aded du ing he subsequen
one
yea
pos lis ing
pe iod. A plausible eason o his is
ha
subs an ially
mo e specula i e ac i i y is a ac ed
o
issues
wi h
highe opening p emia.
No
signi ican ela ionship was, howe e , e iden
be ween
he
opening p emia and sys ema ic isk
o
new
issues. Finally
no
signi ican di e ence be ween he
a e ma ke pe o mance
o
lis ings associa ed wi h he
a ious unde w i e s in ques ion was ound
o
exis on
he JSE.
Noles
:
The
-s a is ic is compu ed using:
E,l !
=
__
_
S(EJ
whe e he
E;,
a e es ima ed
om
model(l).
B ad ield,
D.J.,
Ba ,
O.D.I.
& A eck-O a cs,J.F. 1988.
Asse p icing in small
ma ke &-
The
Sou h A ican
cue.
S.
A .
J.
Bus. Mgm ., ol.19, 11-21.
Ba low, H. & Spa ks, R. 1986. A S udy
o
he P icing
o
New
Equi y Issues lis ed on he JSE.
MBA
Disse a ion,
Uni e si y o Cape Town.
Blum, J.D.
1971.
An
Analysis o lni ial Common S ock
O e ings. Doc o al Disse a ion, Michigan S a e
Uni e si y.
Da is, E.W. & O an , A.T.K. 1972. Small Business and he
Capi al
Ma ke .
Moo ga e and Wall S ee , 48-63.
Hanis, R.A. 1933. A e-analysis o he 1928 new issue boom.
The Econ. J., ol.
43,
453-459.
Ibbo son,
R.
0.
1975.
P ice pe o mance
o
common s ock new
issues.
J.
Fin.
Econ., ol.2, 235-272.
Logue,
D.E.
1973. P emia on unseasoned equi y issues:
1965-1969.
J.
Fin.
Quan .
Analysis, ol.8,90-103.
Lu ie, R.
1941.
The
company p omo ion
boom
in
Sou h
A ica, 1933-1938. The S.
A .
J.
Econ., ol.
9,
265-273.
McDonald,
J.O.
& F' she , A.K. 1972. New-issues ock p ice
beha iou .
J.
Fin., ol. 27, 97-102.
Reilly,
F.K. & Ha ield, K. 1969. In es o expe ience wi h
new s ock issues.
Fin.
Analys s J., ol., 25, 73-80.
Richa ds, C.S. 1935. Company p omo ion in Sou h A ica,
1933-1934.
The
S.
A .
J.
Econ., ol.3, 229-248.
S.A .J.Bus.Mgm .1989,20(2)
Ri e ,
J.R.
1984. The
'Ho
Issue' ma ke
o
1980.
J.
Bus., Appendix Con inued
ol., 57, 215-240.
Ro hman, J. 1973.
An
analysis
o
New Issues, 1s
ed.,
London:
Leopold Joseph. Opening Adjus ed
Sco , P. 1971. Sha e P ice Pe o mance o Newly Quo ed Sha e Be a
R2
P emium Volume
Companies. Sloan Disse a ion, London Business School.
S igle , G.J. 1964. Public egula ion
o
he secu i ies ma ke s.
27
STANPROP
-0,15 0,02 0,36 0,06
The
J.
Bus., ol., 37, 117-142.
28
PRU
0,12 0,01 0,65 0,16
Unde hill,
L.G.
1981. ln os a , 3 d
ed.,
Cape Town: Ju a.
29
UMDONI 0,21 0,07 0,08 0,24
Vaughan,
C.D.,
G inye ,
P.H.
& Bi ley, S.J. 1977. F om 30
RIH
1,45 0,52 0,42 0,05
31
SCORE 1,66 0,40 0,90 0,86
P i a e o Public, 1s
ed.,
London: Woodhead Faulkne .
32
CAP
PROP
0,56 0,15 -0,10 0,30
Williams,
D.H.
1972.
An
In es iga ion in o New Equi y Issues
33
TOH
0,08 0,01 0,29 0,51
on he London S ock Exchange:
1966--1970.
M.
Com.
34
EUREFIN 0,52 0,06 0,00 0,15
Disse a ion, Uni e si y
o
Bi mingham.
35
CHANNEL -0,04 0,00 0,05 0,04
Wood, R. 1986. Raising Equi y -An Analysis
o
New Issues 36 BEATRIX 1,68 0,39 0,34 0,68
37
MODDER
B 0,68 0,16 0,33 2,74
and Righ Issues in Sou h A ica -A e unde w i e s
38
S.
LIFE 0,66 0,42 0,32 0,69
acing enough isk? Technical Repo , Uni e si y
o
Cape
39
GROPROP
0,46 0,14 0,05 1,84
Town.
40
BARPROP
0,31 0,07 0,00 0,06
Ying, C.C. 1966. S ock ma ke p ices and olumes
o
sales.
41
RANDEX -0,12 0,00 0,73 1,23
42
HUDACO -0,25 0,02 0,50 1 ,17
Econome ica, ol. 34(3), 85-103.
43
SPL
0,59 0,05 1,67
1,31
44
NDH
1,29 0,27 0,12 0,72
45
WEST WITS 1,25 0,31 0,33 1,75
Appendix
Summa y s a is ics o new issues o e
46
SUN INT 0,11 0,01 0,50 0,51
1975-1986
47
CRULIFE -0,04 0,00 0,25 1,08
48 SPRIDAG 2,15 0,34 1,05
1,91
49
JUICY LUCY 0,05 0,00 1,67 3,96
Opening Adjus ed
50
METLIFE -0,07 0,00 0,22 0,66
Sha e Be a
R2
P emium Volume
51
LIFEGRO 0,29 0,09 0,39 0,52
52
MAS HOLD -0,26 0,02 0,50 1,05
1
FS
SAAIPLAAS 1,07 0,07 -0,12 0,16
53
METPROP -0,04 0,00 -0,03 3,66
2
DEELKRAAL
1,07 0,21 0,59 0,10
54
VANSA 1,73 0,27 0,09 0,95
3
FEDPROP
0,09
O,o3 O,o3
0,47
55
PUNCH 1,96 0,23 1,03 1,38
4
ELANDSRAND
0,19 0,00 0,47 0,04
56
SUNPAK
0,29 0,01 0,71 5,34
5
ERGO
-0,12 0,02 0,26 0,23
57
TEMPORA
-0,03 0,00 0,12 0,08
6 KIMET -0,05 0,00 0,25 1,08
58
REICHMANS
1,27 0,11 0,13 1,56
7 CUSAF 0,26 0,26 0,26 0,57
59
TAMBOTI 0,18 0,02 0,01 2,64
8
CI
0,10 0,01 -0,03 1,42
60
AOS -1,03 0,11 0,38 1,64
9 CLICKS -1,92 0,40 0,45 0,69
61
MIDAS -0,12 0,00 0,02 0,58
10
SOUTH
SUN
0,82 0,14 0,33 1,14
62
SPUR
0,82 0,03 1,08 6,66
11
SASOL 0,35 0,04 0,54 0,67
63
HOUSEWARES 0,67 0,02 0,44 4,43
12
DRG
0,19 0,02 0,01 0,89 64 PACTAPE -0,42 0,01 0,08 2,77
13
KAAPWYN 0,46 0,19 0,17 0,65
65
T&N
-1,14 0,04 -0,07 0,79
14
XACTICS 0,68 0,17 0,43 0,43 66 PRES MED -0,84 0,12 0,53 0,67
15
DAN
PERKINS 1,12 0,23 0,41 0,94
67
FABLIB -1,05 0,22 0,06 0,92
16
CENPROP
0,89 0,43 0,03 1,16 68
MIKES
-0,72 0,01 0,62 2,78
17
MCALPINE 0,86 0,38 0,45 0,60
69
C-MATIC -0,06 0,00 1,60 0,29
18
SOLARSH 0,05 0,01 0,15 0,82
70
CASHBUILD 0,58 0,02 0,64 0,66
19
ACROW
0,51 0,20 -0,02 0,31
71
POINTER 0,79 0,07 0,17 1,9
20
H & J CABLES 0,10 0,02 0,22 0,69
72
H.J.
JOEL
--0,15 0,00 0,67 0,46
21
ADK 0,30 0,08 0,50 0,52
73
MEDI-CLINIC 0,42 0,06 0,00 0,08
22
CBD
PROP
0,45 0,35 0,17 0,13
74
SE
RAND
GOLD
-0,20 0,00 0,77 2,42
23
ENYATI 0,46 0,08 0,00 l,30
75
POTCH
GOLD
-0,12 0,00 0,43 3,60
24
ADVANCE
0,22 0,02 0,39 0,04
76
SUB NIGEL 0,48 0,02 1,03 1,83
25
OMNIA 0,02 0,00 0,03 0,13 n FURN FAIR
1,91
0,45 0,50 2,86
26
N
BERNICA
0,05
0,01
-0,08 0,26