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

Chia-Pin Chen and Ying-Sing Liu

Applied Economics Letters, 2018, vol. 25, issue 11, 730-733

Abstract: This study probes into relationship between investor sentiment and cumulative abnormal returns (CAR) of share repurchase announcements, and it treats market return as threshold variable. By threshold regression model, it tries to find the effect of market situations on relation between investor sentiment and CAR. According to empirical result, in share market of Taiwan, investor sentiment can explain CAR. When share market is extremely pessimistic (market return lower than −16.0053%), relation between investor sentiment and CAR will change to some degree. In addition, relation between price risk of announcement company and CAR will disappear with the extremely pessimistic situation of market.

Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2017.1361002 (text/html)
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:taf:apeclt:v:25:y:2018:i:11:p:730-733

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2017.1361002

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().