USING TWO-PART QUANTILE REGRESSION TO ANALYZE HOW EARNINGS SHOCKS AFFECT STOCK REPURCHASES

Chih-Yi Chi (), Shih-Ti Yu, Yi Tzu Li () and Yu-Lung Lu ()
Additional contact information
Chih-Yi Chi: Department of Finance, National Chung Hsing University, 250, Kuo Kuang Rd., Taichung 402, Taiwan R.O.C.
Yi Tzu Li: Eastspring Securities Investment Trust Co. Ltd, 19F-1, No. 489, Sec. 2, Taiwan Blvd, Taichung 403, Taiwan R.O.C.
Yu-Lung Lu: Department of Economics, National Tsing Hua University, 101, Sec. 2, Kuang Fu Rd., Hsinchu 300, Taiwan R.O.C.

Annals of Financial Economics (AFE), 2014, vol. 09, issue 02, 1-13

Abstract: We examine whether firms tend to buy back their stocks to a greater extent when the managers learn there will be positive earnings impacts. We use a two-part model (Duan et al., 1983) to address this issue. First, we use a Probit model to estimate the decision of stock repurchase. Then we use Koenker and Bassett's (1978) quantile regression to estimate the dollar amount of stock repurchases. We find that when the earnings impacts are in the low quantiles, stock repurchases and earning impact are positively correlated. However, when the impacts are in the high quantiles, the relation becomes reversed.

Keywords: Stock repurchases; earnings impact; quantile regression (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010495214400107
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:afexxx:v:09:y:2014:i:02:n:s2010495214400107

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010495214400107

Access Statistics for this article

Annals of Financial Economics (AFE) is currently edited by Michael McAleer

More articles in Annals of Financial Economics (AFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().