Show simple item record

Files in this item


Item metadata

dc.contributor.authorAndriosopoulos, Dimitris
dc.contributor.authorChronopoulos, Dimitris
dc.contributor.authorPapadimitriou, Fotios I.
dc.identifier.citationAndriosopoulos , D , Chronopoulos , D & Papadimitriou , F I 2014 , ' Can the information content of share repurchases improve the accuracy of equity premium predictions? ' , Journal of Empirical Finance , vol. 26 , pp. 96-111 .
dc.identifier.otherPURE: 145061815
dc.identifier.otherPURE UUID: ea444366-32c0-43c3-9f4c-612a662733cd
dc.identifier.otherScopus: 84896478313
dc.identifier.otherWOS: 000335608400007
dc.identifier.otherORCID: /0000-0002-2288-4842/work/82179522
dc.description.abstractWe adjust the dividend–price ratio for share repurchases and investigate whether predictive power can be improved when constructing forecasts of the UK and French equity premia. Regulations in the two largest European stock markets allow us to employ actual repurchase data in our predictive regressions. Hence, we are able to overcome problems associated with markets characterised by less stringent disclosure requirements, where investors might have to rely on proxies for measuring repurchase activity. We find that predictability does not improve either in a statistical or in an economically significant sense once actual share repurchases are considered. Furthermore, we employ a proxy measure of repurchases which can be easily constructed in international markets and demonstrate that its predictive content is not in line with that of the actual repurchase data.
dc.relation.ispartofJournal of Empirical Financeen
dc.subjectStock return predictabilityen
dc.subjectDividend-price ratioen
dc.subjectShare repurchasesen
dc.subjectOut-of-sample testsen
dc.subjectEconomic valueen
dc.subjectHG Financeen
dc.titleCan the information content of share repurchases improve the accuracy of equity premium predictions?en
dc.typeJournal articleen
dc.contributor.institutionUniversity of St Andrews. School of Managementen
dc.contributor.institutionUniversity of St Andrews. Centre for Responsible Banking and Financeen
dc.description.statusPeer revieweden

This item appears in the following Collection(s)

Show simple item record