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

Dimitris Andriosopoulos, Chrysovalantis Gaganis, Fotios Pasiouras

Research output: Contribution to journalArticle

1 Citation (Scopus)
157 Downloads (Pure)

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.
Original languageEnglish
Pages (from-to)387-416
Number of pages30
JournalReview of Quantitative Finance and Accounting
Volume46
Issue number2
Early online date24 Aug 2014
DOIs
Publication statusPublished - 1 Feb 2016

Keywords

  • abnormal returns
  • portfolio
  • prediction
  • share repurchases
  • open market
  • portfolio returns
  • evidence
  • France
  • Germany
  • United Kingdom

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