arXiv · arXiv q-fin · 2022
This thesis investigates share buybacks, specifically share buyback announcements. It addresses how to recognize such announcements, the excess return of share buybacks, and the prediction of returns after a share buyback announcement. We illustrate two NLP approaches for the automated detection of share buyback announcements. Even with very small amounts of training data, we can achieve an accuracy of up to 90%. Thi…
Thilo Reintjes
arXiv · arXiv q-fin · 2019
This paper aims to explore the mechanical effect of a company's share repurchase on earnings per share (EPS). In particular, while a share repurchase scheme will reduce the overall number of shares, suggesting that the EPS may increase, clearly the expenditure will reduce the net earnings of a company, introducing a trade-off between these competing effects. We first of all review accretive share repurchases, then ch…
Lawrence Middleton, James Dodd, Graham Baird
arXiv · arXiv q-fin · 2015
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to volatility due to rather random perception/interpretation of earnings announcements (among other data) by market participants. We present empirical evidence indicating that dividend payin…
Zura Kakushadze
arXiv · arXiv q-fin · 2026
In recent decades, companies have frequently adopted share repurchase programs to return capital to shareholders or for other strategic purposes, instructing investment banks to rapidly buy back shares on their behalf. When the executing institution is allowed to hedge its exposure, it encounters several challenges due to the intrinsic features of the product. Moreover, contractual clauses or market regulations on tr…
Stefano Corti, Roberto Daluiso, Andrea Pallavicini
arXiv · arXiv q-fin · 2025
This paper introduces Large Execution Models (LEMs), a novel deep learning framework that extends transformer-based architectures to address complex execution problems with flexible time boundaries and multiple execution constraints. Building upon recent advances in neural VWAP execution strategies, LEMs generalize the approach from fixed-duration orders to scenarios where execution duration is bounded between minimu…
Remi Genet, Hugo Inzirillo
arXiv · arXiv q-fin · 2024
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which frequently encounter difficulties with high-dimensional state spaces and the intricacies of selecting appropriate risk penalty or risk aversion parameter. Our methodology applies optimized heuristic strategies to maximize the contract's value. Th…
Bastien Baldacci, Philippe Bergault, Olivier Guéant
arXiv · arXiv q-fin · 2019
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving option components, e.g. accelerated share repurchase contracts, VWAP-minus profit-sharing contracts, etc. The entanglement between the execution problem and the option hedging problem makes the ma…
Olivier Guéant, Iuliia Manziuk, Jiang Pu
arXiv · arXiv q-fin · 2004
We describe and document three mechanisms by which corporations can influence or even control stock prices. (i) Parent and holding companies wield control over other publicly traded companies. (ii) Through clever management of treasury stock based on buyback programs and stock issuance, stock price fluctuations can be amplified or curbed. (iii) Finally, history shows a close interdependance between the level of stock…
Bertrand M. Roehner