Institutional Repository
Technical University of Crete
Technical University of Crete
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EL
| URI: | http://purl.tuc.gr/dl/dias/FCF0101B-B4B9-453B-9BBF-72E4E13112F0 | ||
| Year | 2016 | ||
| Type of Item | Peer-Reviewed Journal Publication | ||
| License |
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| Bibliographic Citation | D. Andriosopoulos, Ch. Gaganis and Fotios Pasiouras, "Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK", Review of Quantitative Finance and Accounting, vol. 46, no. 2, pp. 387–416, Feb. 2016. doi: 10.1007/s11156-014-0473-1 https://doi.org/10.1007/s11156-014-0473-1 | ||
| Appears in Collections |
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.
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