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 language | English |
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Pages (from-to) | 387-416 |
Number of pages | 30 |
Journal | Review of Quantitative Finance and Accounting |
Volume | 46 |
Issue number | 2 |
Early online date | 24 Aug 2014 |
DOIs | |
Publication status | Published - 1 Feb 2016 |
Keywords
- abnormal returns
- portfolio
- prediction
- share repurchases
- open market
- portfolio returns
- evidence
- France
- Germany
- United Kingdom