Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/317306 
Authors: 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Business Economics and Management (JBEM) [ISSN:] 2029-4433 [Volume:] 19 [Issue:] 4 [Year:] 2018 [Pages:] 673-691
Publisher: 
Vilnius Gediminas Technical University, Vilnius
Abstract: 
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.
Subjects: 
the open-market share repurchases
investor sentiment
stock price responses
the pre-repurchase beta
asymmetry of the relationship
the threshold regression model
JEL: 
G14
C12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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