Sensitivity to investor sentiment and stock performance of open market share repurchases

Woan-lih Liang*

*Corresponding author for this work

研究成果: Article同行評審

7 引文 斯高帕斯(Scopus)

摘要

This paper finds that stocks of repurchasers with high sensitivity to investor sentiment are more likely to be mispriced. Thus, such repurchases are followed by superior post-buyback stock performance. This abnormal return associated with sensitivity to sentiment cannot be explained by other undervaluation factors: book-to-market or prior return effects. My results are robust with factor model analysis and controls for contamination effects. I conclude that this sentiment-driven undervaluation may result from the difficulty to value and/or limits to arbitrage rather than investor overreaction.

原文English
頁(從 - 到)75-94
頁數20
期刊Journal of Banking and Finance
71
DOIs
出版狀態Published - 1 十月 2016

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