Multi-Horizon IPO Aftermarket Performance: Evidence from India

Average IPO returns hide what most investors earn. This study examines 197 Indian main-board IPOs listed between 2016 and 2022, with daily prices to 2026, giving every issue a complete 780-trading-day record. Buy-and-hold abnormal returns are measured against the NIFTY 50 and the NIFTY 500 over seven horizons from 20 to 780 trading days. Mean abnormal return reaches 26.39 per cent at 780 days, and the median over the same window is −31.24 per cent. Only 41.1 per cent of IPOs beat the market. Returns are concentrated, with a Gini coefficient of 0.557, and the top decile of positive performers earn 42.9 per cent of all positive abnormal returns. Removing ten firms from 197 turns the mean negative. Calendar-time portfolios produce no significant alpha at any window, and a placebo test using random start dates yields higher abnormal returns than the actual post-listing windows. Search attention is associated with returns over the first sixty days. IPO volume becomes negatively associated with returns from 240 days onward, and hot-market timing is significant at 20 days and again from 240 days onward. Mean-based evidence overstates what a typical IPO investor earns, and the distribution matters more than the average.