An application of multicriteria decision aid models in the prediction of open market share repurchases

Dimitris Andriosopoulos, Chrysovalantis Gaganis, Fotios Pasiouras, Constantin Zopounidis

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15 Citations (Scopus)
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Abstract

This study presents the first attempt to develop classification models for the prediction of share repurchase announcements using multicriteria decision aid (MCDA) techniques. We use three samples consisting of 434 UK firms, 330 French firms, and 296 German firms, to develop country-specific models. The MCDA techniques that are applied for the development of the models are the UTilités Additives DIScriminantes (UTADIS) and the ELimination and Choice Expressing REality (ELECTRE) TRI. We adopt a 10-fold cross validation approach, a re-sampling technique that allows us to split the datasets in training and validation sub-samples. Thus, at the first stage of the analysis the aim is the development of a model capable of reproducing the classification of the firms considered in the training samples. Once this stage is completed, the model can be used for the classification of new firms not included in the training samples (i.e. validation stage). The results show that both MCDA models achieve quite satisfactory classification accuracies in the validation sample and they outperform both logistic regression and chance predictions. The developed models could provide the basis for a decision tool for various stakeholders such as managers, shareholders, and investment analysts.
Original languageEnglish
Pages (from-to)882-890
Number of pages9
JournalOmega
Volume40
Issue number6
Early online date2 Feb 2012
DOIs
Publication statusPublished - Dec 2012

Keywords

  • business policy
  • multicriteria decision aid
  • MCDA
  • UTilités Additives DIScriminantes (UTADIS)
  • ELimination and Choice Expressing REality (ELECTRE)

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