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

Author

Listed:
  • Dimitris Andriosopoulos
  • Chrysovalantis Gaganis
  • Fotios Pasiouras

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. Copyright Springer Science+Business Media New York 2016

Suggested Citation

  • Dimitris Andriosopoulos & Chrysovalantis Gaganis & Fotios Pasiouras, 2016. "Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 387-416, February.
    • Handle: RePEc:kap:rqfnac:v:46:y:2016:i:2:p:387-416
    DOI: 10.1007/s11156-014-0473-1
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    Citations

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    Cited by:

    1. Joanna Golden, 2018. "The Effect of Shareholder Rights and Information Asymmetry on Stock-Option-Related Repurchase Activity," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-41, June.

    More about this item

    Keywords

    Abnormal returns; Portfolio; Prediction; Share repurchase; G11; G17; G32;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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