Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK

Prediction of open market share repurchases and portfolio returns: evidence from France, Germany... This study uses logistic regression for the development of prediction models that distinguish between share-repurchasing and non-share repurchasing firms. The estimated models form the basis for an investment strategy, according to which one invests on the stock of the firms that are predicted as repurchasing ones. Using a sample of firms from the UK, France, and Germany, the results show that this strategy generates positive and statistically significant abnormal returns over different investment periods that range between 1 and 18 months. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK

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Publisher
Springer US
Copyright
Copyright © 2014 by Springer Science+Business Media New York
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-014-0473-1
Publisher site
See Article on Publisher Site

Abstract

This study uses logistic regression for the development of prediction models that distinguish between share-repurchasing and non-share repurchasing firms. The estimated models form the basis for an investment strategy, according to which one invests on the stock of the firms that are predicted as repurchasing ones. Using a sample of firms from the UK, France, and Germany, the results show that this strategy generates positive and statistically significant abnormal returns over different investment periods that range between 1 and 18 months.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Aug 24, 2014

References

  • An application of multicriteria decision aid models in the prediction of open market share repurchases
    Andriosopoulos, D; Gaganis, C; Pasiouras, F; Zopounidis, C

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