Zhodnocení rizikovosti IPO indexů

Abstract

The objective of the paper is to critically evaluate and determine risk-return profile of IPO (Initial Public Offering) indexes (investments instruments) and whether IPO indexes should be taken in as an independent asset class of investments portfolio for its risk-return improvement. There were used IPO STOXX indices (STOXX IPO 3, STOXX IPO 12 and STOXX IPO 60) as a representative of IPO´s companies for scientific research in the field of IPO´s risk investment. For comparation the relative investment risk of IPO´s companies were used selected stock indices, as well as other asset classes (commodity index and bond index). There were used methods of classical statistics and nonparametric methods, especially computer simulation (the bootstrap method) for risk exploration of individual indices. As a risk measurement were taken into account the standard deviation, interquartile ranges and the percentile. Obtaining calculations show that short-term investors can achieve above-average capital gains via IPO investment. From the perspective of an investor who wants to invest into IPO´s companies coming into consideration the investment instruments which replicating indexes STOXX IPO3 and STOXX IPO12 but not STOXX IPO60. The investor must be aware of higher risks, specifically by about 65-75% higher compared to large-cap European companies (e.g. blue-chip STOXX 50 index). The STOXX IPO 3 index reaches extreme losses by about 20% higher than STOXX IPO 12, and at almost the same rate of return for the observed period.