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

Dimitris Andriosopoulos, Dimitris K. Chronopoulos, Fotios I. Papadimitriou

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)
8 Downloads (Pure)


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.
Original languageEnglish
Pages (from-to)96-111
Number of pages16
JournalJournal of Empirical Finance
Early online date6 Feb 2014
Publication statusPublished - Mar 2014

Bibliographical note

We thank an anonymous referee, an associate editor, and Theo J. Vermaelen (the editor) for their invaluable comments which substantially improved the paper. We also thank Christos Agiakloglou, Sanjay Banerji, Leonidas Barbopoulos, Chris Brooks, Taufiq Choudhry, George Dotsis, Neil M. Kellard, Gerhard Kling, John C. Nankervis, Andrew Vivian, John O.S. Wilson, Simon Wolfe, and conference participants at the 2012 British, Accounting and Finance Association (BAFA) meeting in Brighton, UK, the 2012 International Finance and Banking Society (IFABS) meeting in Valencia, Spain, the 2012 Multinational Finance Society in Krakow, Poland, and the 2012 Financial Management Association (FMA) meeting in Atlanta, USA, for helpful comments and discussions.


  • Stock return predictability
  • Dividend–price ratio
  • Share repurchases
  • Out-of-sample tests
  • Economic value


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