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Chih-Yi Chi (), Shih-Ti Yu, Yi Tzu Li () and Yu-Lung Lu ()
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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
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DOI: 10.1142/S2010495214400107

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