The impacts of investor sentiment and price uncertainty on the effects of open-market share repurchase announcements

Chen, Chia-Pin; Liu, Ying-Sing

doi:10.1080/13504851.2017.1361002

Cited by 3 publications

(5 citation statements)

References 16 publications

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“…The Open-Market Repurchases (OMR) program is one of the hot topics studies in the current capital market, especially the main purpose of the implementation is to protect the interests of shareholders. Aimed at the fact whether OMR has the positive effect on CAR of share repurchase in the event period, there are some differences in the previous research results and these results are in contradiction with the argument of signaling undervaluation (Su & Lin, 2012;Huang, Liano, Manakyan, & Pan, 2013;Cheng & Hou, 2013); at the same time, the previous researches seldom analyze the effect of OMR in the event period on investor sentiment on the trading market from the perspective of behavioral finance, or only from the effect of market situations to analyze (Chen & Liu, 2018), not from the repurchase program in the stock price of risk, and emphasize the importance of systematic risk before the OMR.…”

Section: Introductionmentioning

confidence: 84%

“…By reference to the verification method of Chen and Liu (2018), this research adopted Event Study to evaluate the abnormal returns (AR) of OMR stock price in the event period. 2 Event day is the announcement day of repurchase news.…”

Section: Data and Empirical Methodsmentioning

confidence: 99%

“…The past research discussing the open-market repurchases (OMR) mostly supports that there are positive abnormal returns after the announcement of share repurchases (Ginglinger & L'her, 2006;Gong, Louis, & Sun, 2008;Cheng & Lin, 2012;Hsu & Huang, 2016;Caton, Goh, Lee, & Linn, 2016;Li, 2016;Chen & Liu, 2018). Therefore, part of research further makes the explanation according to the positive stock returns incurred.…”

Section: Literature Reviewmentioning

confidence: 99%

“…According to Liang (2016), the stock acquisition makes investors feeling high sensitivity, so mispricing is caused and sentiment-driven undervaluation may lead to the difficulty to value (limits to arbitrage), instead of investor overreaction. Finally, Chen and Liu (2018) used market return as threshold variable in threshold regression model to explain market situations for impact of the relationship between investor sentiment and CAR, and support investor sentiment can explain to the CAR, when stock market is extremely pessimistic, relation between investor sentiment and CAR will change.…”

Section: Literature Reviewmentioning

confidence: 99%

“…This research firstly used the multiple linear regression models to discuss the relationship between variables of investor sentiment, trading activity, market factors and price uncertainty in share repurchase event period and CAR. The model form is shown as below: as buy-sell imbalance (BSI) of institutional investors, margin trading investors and short selling investors (Kumar & Lee, 2006;Chen & Liu, 2018), so as to represent the investor sentiment in the calculation period. Among them, institutional investors tend to be the traders possessing the information while credit trading investors tend to be the short-swing traders.…”

Section: Multiple Linear Regression Modelsmentioning

confidence: 99%

See 4 more Smart Citations

Effects of the Pre-Repurchase Systematic Risk on the Relationship Between Investor Behavior, Market Factors and the Stock Price Responses

Liu

2018

Journal of Business Economics and Management

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This study explores the pre-repurchase systematic risk will affect the abnormal returns in the open-market repurchase event period and also change the relationship between the investor sentiment, trading activity, market factors and stock price response during the event on Taiwan stock market. Based on threshold regression models, it is found that the pre-repurchase systematic risk will significantly change the relationship between investor behavior, market factors and stock price responses and the asymmetry of the relationship exists when pre-repurchase systematic risk is lower than a repartition, which supports that institutional investors and credit trading investors differ in these existing relationships. When the pre-repurchase beta is below repartition, it will be detrimental to the returns in event period. But on the contrary, the returns in the short-term shock of news exposure period present the favorable results, which may be related to the fact that there exists sentiment premium in short-term when credit trading investors’ repurchase news exposure occurs. Finally, the study is to confirm the effect of systematic risk for returns and investor sentiment, these results have not been further explored in the past, and can be used as the firm’s evalu-ation reference to the repurchase program in the future.

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