不同的公司在交易自己的股票时表现如何?对具体特征和市场状况的细粒度分析

IF 3 Q1 ECONOMICS
D. Santos, P. Gama
{"title":"不同的公司在交易自己的股票时表现如何?对具体特征和市场状况的细粒度分析","authors":"D. Santos, P. Gama","doi":"10.20472/es.2020.9.2.005","DOIUrl":null,"url":null,"abstract":": Which firms are more likely to time the market? This paper uses a relative transaction price approach, focusing on 37997 own stock transactions from Euronext Lisbon listed firms, ranging from 2005 to 2015, to estimate the relationship between the market timing ability of firms and a set of firm specific characteristics. Results show that smaller, more efficient but less valuable companies are more likely to be successful to time the market. Furthermore, we show that a shifting event such as a country bailout can lead to an increased performance from firms when trading own stock. Additionally, we find proof that OTC trading can be linked to lower market timing capabilities. At last, and due to the considerable weight of the financial sector within our sample, we estimated isolated results, which prove that the higher the relative performance of a firm when compared to its share value, the higher the capabilities of a financial sector firm to time the market when repurchasing own stock. earnings for relative valuation, quick ratio for liquidity and finally the total shareholder’s equity for overall financial health. use the Shapiro –Wilk W test for normality to the different RTP’s samples. This is done since, a priori, we do not know the distribution pattern of the relative transaction prices. The Shapiro–Wilk test is a test of normality in frequentist statistics. Published in 1965 by Samuel Sanford Shapiro and Martin Wilk it is commonly used to test series follows or not a normal distribution. stands stands for looking relative transaction Heteroskedasticity and robust standard are used. and * show statistical significance at a level of 1, 5 and 10% respectively.","PeriodicalId":42415,"journal":{"name":"International Journal of Economic Sciences","volume":null,"pages":null},"PeriodicalIF":3.0000,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"HOW DO DIFFERENT FIRMS PERFORM WHILE TRADING OWN STOCK? A GRANULAR ANALYSIS ON SPECIFIC CHARACTERISTICS AND MARKET CONDITIONS\",\"authors\":\"D. Santos, P. Gama\",\"doi\":\"10.20472/es.2020.9.2.005\",\"DOIUrl\":null,\"url\":null,\"abstract\":\": Which firms are more likely to time the market? This paper uses a relative transaction price approach, focusing on 37997 own stock transactions from Euronext Lisbon listed firms, ranging from 2005 to 2015, to estimate the relationship between the market timing ability of firms and a set of firm specific characteristics. Results show that smaller, more efficient but less valuable companies are more likely to be successful to time the market. Furthermore, we show that a shifting event such as a country bailout can lead to an increased performance from firms when trading own stock. Additionally, we find proof that OTC trading can be linked to lower market timing capabilities. At last, and due to the considerable weight of the financial sector within our sample, we estimated isolated results, which prove that the higher the relative performance of a firm when compared to its share value, the higher the capabilities of a financial sector firm to time the market when repurchasing own stock. earnings for relative valuation, quick ratio for liquidity and finally the total shareholder’s equity for overall financial health. use the Shapiro –Wilk W test for normality to the different RTP’s samples. This is done since, a priori, we do not know the distribution pattern of the relative transaction prices. The Shapiro–Wilk test is a test of normality in frequentist statistics. Published in 1965 by Samuel Sanford Shapiro and Martin Wilk it is commonly used to test series follows or not a normal distribution. stands stands for looking relative transaction Heteroskedasticity and robust standard are used. and * show statistical significance at a level of 1, 5 and 10% respectively.\",\"PeriodicalId\":42415,\"journal\":{\"name\":\"International Journal of Economic Sciences\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.0000,\"publicationDate\":\"2020-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Economic Sciences\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.20472/es.2020.9.2.005\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Economic Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.20472/es.2020.9.2.005","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 2

摘要

哪些公司更有可能把握市场时机?本文采用相对交易价格方法,以2005年至2015年期间泛欧交易所里斯本上市公司的37997笔自有股票交易为研究对象,估计了公司的市场择时能力与一组公司特定特征之间的关系。结果显示,规模较小、效率更高但价值较低的公司更有可能成功把握市场时机。此外,我们表明,一个转移事件,如国家救助可以导致公司在交易自己的股票时的业绩增加。此外,我们发现证据表明,场外交易可能与较低的市场择时能力有关。最后,由于金融部门在我们的样本中占有相当大的权重,我们估计了孤立的结果,这证明公司的相对业绩与其股票价值相比越高,金融部门公司在回购自己的股票时选择市场时机的能力就越高。相对估值的收益,流动性的速动比率,最后是整体财务健康的股东权益总额。使用夏皮罗-威尔克W检验不同RTP样本的正态性。这样做是因为,先验地,我们不知道相对交易价格的分布模式。夏皮罗-威尔克检验是频率统计中的一种正态性检验。由塞缪尔·桑福德·夏皮罗和马丁·威尔克于1965年出版,它通常用于检验序列是否服从正态分布。表示寻找相对事务,采用异方差和鲁棒性标准。和*分别在1、5、10%的水平上具有统计学意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
HOW DO DIFFERENT FIRMS PERFORM WHILE TRADING OWN STOCK? A GRANULAR ANALYSIS ON SPECIFIC CHARACTERISTICS AND MARKET CONDITIONS
: Which firms are more likely to time the market? This paper uses a relative transaction price approach, focusing on 37997 own stock transactions from Euronext Lisbon listed firms, ranging from 2005 to 2015, to estimate the relationship between the market timing ability of firms and a set of firm specific characteristics. Results show that smaller, more efficient but less valuable companies are more likely to be successful to time the market. Furthermore, we show that a shifting event such as a country bailout can lead to an increased performance from firms when trading own stock. Additionally, we find proof that OTC trading can be linked to lower market timing capabilities. At last, and due to the considerable weight of the financial sector within our sample, we estimated isolated results, which prove that the higher the relative performance of a firm when compared to its share value, the higher the capabilities of a financial sector firm to time the market when repurchasing own stock. earnings for relative valuation, quick ratio for liquidity and finally the total shareholder’s equity for overall financial health. use the Shapiro –Wilk W test for normality to the different RTP’s samples. This is done since, a priori, we do not know the distribution pattern of the relative transaction prices. The Shapiro–Wilk test is a test of normality in frequentist statistics. Published in 1965 by Samuel Sanford Shapiro and Martin Wilk it is commonly used to test series follows or not a normal distribution. stands stands for looking relative transaction Heteroskedasticity and robust standard are used. and * show statistical significance at a level of 1, 5 and 10% respectively.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
25.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信