The basic industry classifications used in this study are those prepared by the Stock Exchange and the British Institute of Actuaries and found in the LSPD dataset.
13 Monthly rates of return in LSPD are recorded in log (continuously compounded) form; for the purposes of this study, they have been transformed to simple arithmetic returns.
A total of 94 IPOs were excluded from the sample because of either: (i) missing offer (placement) prices, (ii) missing first day of trading price, or (iii) unidentified company name in the London Share Price Database (LSPD).
Monthly returns are taken from LSPD;(13) they are based on prices at the last day of the month on which the stock is traded, incorporate dividend payments and, where applicable, are adjusted for rights and scrip offerings.
The list of firm failures is compiled from LSPD (codes 7, 16, and 20), the Stock Exchange Official Yearbook, published by Waterlow Specialist Information Publishing, and CGT Capital Losses published by FT Interactive.
The list of failures is compiled from LSPD, The Stock Exchange Official Yearbook, and CGT Capital Losses.