Investor sentiment, trading activity and effect of the open-market share repurchase based on firm characteristics

Liu, Ying Sing

doi:10.1080/02102412.2019.1706882

Cited by 4 publications

(9 citation statements)

References 33 publications

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“…Tobin’s Q ratio higher than 1 indicates that the firm’s stock price is higher than the distribution cost. The firms have a higher intention to invest or capital increased (Liu, 2021). Dividend yield (%), price-to-sales ratio (PSR), PB ratio, number of employees (people), market value (unit: million NT$), and risk variable (whether the company has experienced financial crises, major financial events, suspensions due to poor prosperity, asset hollowing out and misappropriation, value impairment, negative net value, large losses, and low net worth in the past 5 years: Yes = 1 and Non = 0).…”

Section: Data and Methodologiesmentioning

confidence: 99%

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Market Efficiency and Stock Investment Loss Aversion Guide During COVID-19 Pandemic Events: The Case for Applying Data Mining

Chen,

Liu

2023

SAGE Open

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This study explores the late coronavirus disease 2019 (COVID-19) pandemic, particularly, 2022Q1 to 2022Q3, to analyze the stock returns of industries expected to have a direct impact. The aim is to identify the factors influencing stock returns and to provide investment strategies, focusing on investment risk control (loss aversion). A total of 193 common stocks listed on the Taiwanese stock market were collected from four major industries: sports, restaurants, biotechnology, and epidemic prevention. Using the past information set (2021Q4): variables in three dimensions—firm characteristics, financial indicators, and corporate governance—are used to construct a stock investment strategy model. Empirical evidence shows the existence of differences in the stock investment advantages of some industries and firm characteristics and the lack of investment advantages of epidemic prevention stocks in 2020. The decision-tree model has a precision of 79.4% and an accuracy of 72.0%. The five most important factors affecting stock returns are market value, cash flow adequacy ratio, return on assets, Tobin’s Q, and price/book value. The scheme inducting three types of losses of return (loser) and one type of profit (winner) is summarized for reference. Second, it confirms the correlation between past information sets and stock returns, suggesting that Taiwan’s stock market was inefficient during the late stage of the COVID-19 pandemic. Finally, this study’s findings can be used as a reference for future fund managers and investors when handling similar events. JEL Classification: G11, G14, C88, I15

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Section: Data and Methodologiesmentioning

confidence: 99%

“…For example, variables that utilize firm characteristics are listed, and the foundation years, firm size (market value), debt rates, EPS, and enterprises’ new investment activity intent (Tobin’s Q ; Liu, 2021) are analyzed. Chen et al (2021) used financial ratios to study capital gains and losses in stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Market Efficiency and Stock Investment Loss Aversion Guide During COVID-19 Pandemic Events: The Case for Applying Data Mining

Chen,

Liu

2023

SAGE Open

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“…The Relative Transaction Prices (or RTP) approach, as in Santos and Gama (2019;2020), focus on comparing the average trading price paid (received) by an internal stakeholder during a specific period, the trade price (TP), and a pre-defined benchmark, the benchmark price (BP).…”

Section: Relative Transaction Pricementioning

confidence: 99%

“…Methodology wise, we follow a relative transaction price approach by establishing event-date and benchmark specific windows (with different lengths, both centered and forward looking) similarly to Santos and Gama (2019;2020) but now with a focus on insiders' trades.…”

Section: Introductionmentioning

confidence: 99%

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Is Insider Trading Successful? An Extensive Analysis With Buying and Selling Evidence

Santos¹,

Gama²

2021

Proceedings of the 15th Economics &Amp; Finance Conference, Prague

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PurposeThe goal of the present study is to first, understand the market timing capabilities of a set of internal stakeholders while trading (buying and selling) stock, and second, shed some light on some of the characteristics that make them (or not) successful. Design/methodology/approachWe use a relative transaction price approach (RTP) on 842 aggregated trades coming from insiders. These were taken from publicly disclosed information available on the Portuguese regulator. Furthermore, we use a median regression-based method to infer on our conclusions. FindingsWe find that insiders buy (sell) at a relatively lower (higher) price when compared to other traders. This shows signs of market timing capabilities. Furthermore, from the studied characteristics, neither the frequency nor gender are good predictors for performance, but the seniority in the organization can help us to understand that some insiders, mostly on the managerial level, might have an edge. Overall, we also find that insiders' trades made OTC generally overperform the ones made on the open market. At last, we find that insiders did not lose any performance during the Portuguese bailout period.Originality/value By using a thorough analytical approach and a never-used sample of trading data, comprising both buying and selling trades at high-frequency (daily) level, we build on the literature of insider trading as well as on the knowledge around the effects of trading on the open market vs. OTC. We also make yet another contribute towards the literature around the Portuguese bailout effect.

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التسعير الخاطئ للأسهم وأثره على عمليات إعادة شراء الأسهم وردود فعل السوق تجاه إعادة شراء الأسهم: بالتطبيق على الشركات غير المالية المدرجة بالبورصة المصرية

محمد

2024

مجلة جامعة الإسکندرية للعلوم الإدارية

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Investor sentiment, trading activity and effect of the open-market share repurchase based on firm characteristics

Cited by 4 publications

References 33 publications

Market Efficiency and Stock Investment Loss Aversion Guide During COVID-19 Pandemic Events: The Case for Applying Data Mining

Market Efficiency and Stock Investment Loss Aversion Guide During COVID-19 Pandemic Events: The Case for Applying Data Mining

Is Insider Trading Successful? An Extensive Analysis With Buying and Selling Evidence

التسعير الخاطئ للأسهم وأثره على عمليات إعادة شراء الأسهم وردود فعل السوق تجاه إعادة شراء الأسهم: بالتطبيق على الشركات غير المالية المدرجة بالبورصة المصرية

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