Journal of Cyber Culture and Information Society

Science Bulletin National Chiao-Tung University

The Journal of National Chiao Tung University

Sensitivitytoinvestorsentimentandstockperformanceofopenmarketsharerepurchases

DepartmentofInformationManagementandFinance

Repurchases;Investorsentiment;Undervaluation;Mispricing

Thispaperfindsthatstocksofrepurchaserswithhighsensitivitytoinvestorsentimentaremorelikelytobemispriced.Thus,suchrepurchasesarefollowedbysuperiorpost-buybackstockperformance.Thisabnormalreturnassociatedwithsensitivitytosentimentcannotbeexplainedbyotherundervaluationfactors:book-to-marketorpriorreturneffects.Myresultsarerobustwithfactormodelanalysisandcontrolsforcontaminationeffects.Iconcludethatthissentiment-drivenundervaluationmayresultfromthedifficultytovalueandorlimitstoarbitrageratherthaninvestoroverreaction.(C)2016ElsevierB.V.Allrightsreserved.

JOURNALOFBANKING&FINANCE

/ ;;Lin,Yen-Ting;Huang,Yi-Hou

How Does the Change in Investor Sentiment over Time Affect Stock Returns? / Ding, Cherng G.;Wang, Hung-Jui;Lee, Meng-Che;Hung, Wen-Chi;Lin, Chieh-Peng

/ ;Wang, Hung-Jui;;;Ding, Cherng G.

Managerial Overconfidence and Share Repurchases / Shu, Pei-Gi;Yeh, Yin-Hua;Chiang, Tsui-Lin;Hung, Jui-Yi

-ETF / ;Wen-Cheng Chang;;;Hui-Min Chung

, / ;Wei, Yu-Chen;;Sheu, Her-Jiun

/ ;;Lee, Han-Hsing

-Managerial Incentives and Open-Market Share Repurchases / Ruei-Shian Wu; Clair Ruei-Yu, Wu

-The impact of open market share repurchases on long-term stock abnormal stock returns: Evidence from an emerging market / Su, Nai-Hui; Lin, Chan-Jane

-The Impact of Open-Market Share Repurchases on Long-Term Stock Returns: Evidence from the Taiwanese Market / Su, Nai-Hui; Lin, Chan-Jane

-Agency Theory and Open-Market Share Repurchases: Evidence from Taiwan / Ruei-Shian Wu

-The Impact of Corporate Governance on Open-Market Share Repurchases? / Ruei-Shian Wu

-Takeover Vulnerability and the Credibility of Signaling: The Case of Open-Market Share Repurchases / Chia-Wei Huang

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