Developing Multicriteria Decision Aid Models for the Prediction of Share Repurchases

Omega, 2012, 40 (6), 882-890 (Revised Version)

Financial Engineering Laboratory Working Paper No. 2010.03

21 Pages Posted: 30 Aug 2010 Last revised: 28 Sep 2012

See all articles by Dimitris Andriosopoulos

Dimitris Andriosopoulos

Strathclyde Business School

Chrysovalantis Gaganis

University of Crete - Faculty of Social Sciences - Department of Economics

Fotios Pasiouras

GSCM-Montpellier Business School

C. Zopounidis

Technical University of Crete (TUC) - Department of Production Engineering and Management

Date Written: August 30, 2010

Abstract

This study presents the first attempt to develop classification models for the prediction of share repurchases using multicriteria decision aid (MCDA) methods. The MCDA models are developed using two methods namely UTilités Additives DIScriminantes (UTADIS) and ELimination and Choice Expressing REality (ELECTRE) TRI, through a ten-fold cross-validation approach. The sample consists of 1060 firms from France, Germany and the UK. We find that both MCDA models achieve quite satisfactory classification accuracies in the validation sample and they outperform both logistic regression and chance predictions.

Keywords: Multicriteria, Share Repurchases

JEL Classification: C63, G30

Suggested Citation

Andriosopoulos, Dimitris and Gaganis, Chrysovalantis and Pasiouras, Fotios and Zopounidis, Constantin, Developing Multicriteria Decision Aid Models for the Prediction of Share Repurchases (August 30, 2010). Omega, 2012, 40 (6), 882-890 (Revised Version). Available at SSRN: https://ssrn.com/abstract=1668594 or http://dx.doi.org/10.2139/ssrn.1668594

Dimitris Andriosopoulos

Strathclyde Business School ( email )

199 Cathedral Street
Department of Accounting and Finance
Glasgow, G4 0QU
United Kingdom
+44(0)1415483892 (Phone)

HOME PAGE: http://www.strath.ac.uk/staff/andriosopoulosdimitrisdr/

Chrysovalantis Gaganis

University of Crete - Faculty of Social Sciences - Department of Economics ( email )

University Campus
Rethymno, Crete, 74100
Greece

HOME PAGE: http://https://economics.soc.uoc.gr/en/staff/4551/17

Fotios Pasiouras (Contact Author)

GSCM-Montpellier Business School ( email )

2300, Avenue des Moulins
Montpellier, 34185
France

Constantin Zopounidis

Technical University of Crete (TUC) - Department of Production Engineering and Management ( email )

University Campus
Chania
Crete, 73100
Greece
+30 28210 37236 (Phone)
+30 28210 69410, 37236 (Fax)

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