Journal of Empirical Finance ·VOLUME 26·MARCH 2014

股票回购的信息内容可以提高股权溢价预测的准确性吗？

作者：Dimitris Andriosopoulosa (Department of Accounting and Finance, University of Strathclyde), Dimitris K. Chronopoulosb (School of Management, University of St Andrews), Fotios I. Papadimitriouc (School of Management, University of Southampton)

摘要：我们调整了股票回购的股利价格比，并且研究了当构建英国和法国股权溢价预测时，该预测能力能否得到提升。这两个欧洲最大股票市场的法规允许我们在进行预测回归时使用真实的回购数据，因此我们可以避免在对披露信息要求相对不甚严格的市场中存在的问题，该问题包括投资者可能需要借用代理变量来衡量回购行为。我们发现，一旦考虑了真实的回购数据之后，预测能力在统计和经济显著性上不能得到提高。更进一步地，我们使用了一个在国际市场上十分容易构造的代理变量，证明了该代理变量的预测信息含量和真实的回购数据并不统一。

关键词：股票回报的预测，股利价格比，股票回购，经济价值

Can the information content of share repurchases improve the accuracy of equity premium predictions?

Dimitris Andriosopoulosa (Department of Accounting and Finance, University of Strathclyde), Dimitris K. Chronopoulosb (School of Management, University of St Andrews), Fotios I. Papadimitriouc (School of Management, University of Southampton)

ABSTRACT

We adjust the dividend–price ratio for share repurchases and investigate whether predictive power can be improved when constructing forecasts of the UK and French equity premia. Regulations in the two largest European stock markets allow us to employ actual repurchase data in our predictive regressions. Hence, we are able to overcome problems associated with markets characterised by less stringent disclosure requirements, where investors might have to rely on proxies for measuring repurchase activity. We find that predictability does not improve either in a statistical or in an economically significant sense once actual share repurchases are considered. Furthermore, we employ a proxy measure of repurchases which can be easily constructed in international markets and demonstrate that its predictive content is not in line with that of the actual repurchase data.

Keywords: Stock return predictability; Dividend–price ratio; Share repurchases; Economic value

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539814000073

翻译：殷曼琳