This study examines the long-run performance of the Initial Public Offerings (IPOs) listed in the Malaysia's Main and alternative (Access, Certainty and Efficiency ACE) markets at economy and sectorial levels. Using event- and calendar-time study methods and monthly data from January 2000 to December 2011, we provide a novel evidence on how the underperformance anomaly exists in the Malaysia's markets, more intensely in the alternative ACE market. We found a robust evidence on the distinction in sector-specific characteristics from the aggregate market characteristics. While the consumer products and industrial sectors dominate the overall underperformance, the construction, property and technology sectors significantly overperform. The findings are robust to a wide range of other sensitivity checks including parametric and non-parametric tests.