Skip to main content
SpringerLink
Log in
SpringerLink
Log in

Reasoning, Knowledge Representation and Algorithmic Turning-Point Problems Given Anomalies Inherent in DERs and ASRs

  • Chapter
  • First Online:
Complex Systems, Multi-Sided Incentives and Risk Perception in Companies

  • 314 Accesses

Abstract

Since 1990, there has been substantial debate in both the popular press and academic materials about earnings management by multinational companies and the capital markets (i.e., microstructure; raising capital) effects of their rampant uses of Dividend-Equivalent Rights (“DERs”) and Accelerated Stock Repurchases (“ASRs”). DERs and ASRs have become popular but inefficient corporate governance, financing and risk management instruments among large and medium companies globally and have significant implications for incentives, portfolio management, asset pricing and corporate financing. DERs and ASRs are regulated by national securities and accounting regulations (e.g., IASB/IFRS), but the affected companies also operate in foreign countries.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 99.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Hardcover Book
USD 129.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Notes

  1. 1.

    See Francis, T. (June 13, 2011). A Tale of Two Paychecks at Mckesson & CA. Available at http://www.footnoted.com/my-big-fat-deal/a-tale-of-two-paychecks-at-mckesson-ca/.

  2. 2.

    See Factset (March 15, 2015). Buyback Quarterly. http://www.factset.com/websitefiles/PDFs/buyback/buyback_3.16.15.

  3. 3.

    See Sidley & Austin (October 2015). Accelerated Share Repurchase Transactions: A Primer for Company Counsel. Available at http://www.sidley.com/~/media/update-pdfs/2015/10/practice-note--accelerated-share-repurchase-transactions--october-26-2015.pdf.

  4. 4.

    See The Economist (September 13, 2014). Share Buy-Backs: The Repurchase Revolution—Companies Have Been Gobbling Up Their Own Shares At an Exceptional Rate. There Are Good Reasons to Worry About This. Available at http://www.economist.com/news/business/21616968-companies-have-been-gobbling-up-their-own-shares-exceptional-rate-there-are-good-reasons. This chapter stated in part “……In the decade before America’s housing bubble burst, Home Depot, an American home-improvement chain, spent heavily on building new shops to meet rampant demand for everything from taps to timber. For every dollar of operating cashflow the firm generated, it ploughed back 65 cents into capital investment. The financial crisis hit hard, and demand for some products has yet to recover fully. Sales of kitchens are only 60% of their peak level. But Home Depot has evolved into a very different kind of beast. Its capital investment has fallen by two-thirds and it is investing heavily in something else: its own shares. Since 2008 it has spent 28 cents of every dollar of cashflow on dividends and a further 52 cents on share repurchases. In June it took advantage of low interest rates to issue a $2 billion bond partly to pay for more buy-backs…… That story, of sluggish investment despite low interest rates, and huge share repurchases, is broadly true of all of corporate America. The companies in the S&P 500 index bought $500 billion of their own shares in 2013, close to the high reached in the bubble year of 2007, and eating up 33 cents of every dollar of cashflow. ……. but buy-backs have usurped dividends as the main way listed American firms give money back to their owners, accounting for 60% of cash returns last year………Even in Europe and Asia, where dividends tend to be venerated, buy-backs have become more common in the past decade. Tencent, a Chinese internet giant whose billionaire boss, Ma Huateng, has a seat in the National People’s Congress, now regularly repurchases its stock. The conservative champions of Japan, including Toyota, Mitsubishi and NTT DoCoMo, are buying their own shares at a record rate. Today no chief executive can ignore buy-backs. They are an idea that has conquered the world.…… Repurchases by firms in the open market, the main type of buy-backs today, used to be banned. America loosened its rules in 1982, Japan in 1994 and Germany in 1998. …… The real world varies from what the textbooks say. Since interest paid on debt is tax-deductible, whereas interest earned on cash is taxable, by increasing its net debt to finance buy-backs or dividends, a firm cuts its tax bill. And of course, increasing the firm’s indebtedness makes it riskier. Buy-backs and dividends can also boost perceptions of a firm’s value ……..”.

  5. 5.

    The Economist (2014) stated in part “……..Where buy-backs differ from dividends in theory and practice is that they do not treat shareholders identically: some sell, some do not…….If a firm buys its stock at a price that, with the benefit of hindsight, is low, it transfers wealth from the shareholders who sold too cheaply to its continuing owners. It does not enhance shareholder value overall. Managers’ duty is, of course, to all shareholders…….. However, buy-backs have a flaw: they can create perverse incentives to pay out too much cash, damaging firms’ balance-sheets and their ability to invest. For a start, both investors and managers can become addicted to the temporary “pop” that a buy-back can give to a share price.……. Pay plans can corrupt managers’ motives. By buying existing shares they can offset the effect of new ones created for their personal stock-option plans. Cash leaves the firm for their pockets without being booked as a cost or reducing earnings per share (EPS). Buy-backs can also give a superficial boost to EPS: the number of shares falls more than the decline in profits from higher interest costs. If managers are paid on the basis of EPS targets — as up to half of American bosses are — they have a temptation to go buy-back bananas………”.

  6. 6.

    See Strumpf, D. (September 15, 2014). “Companies’ Stock Buybacks Help Buoy the Market Share—Repurchases Are At Fastest Clip Since Financial Crisis”. Wall Street Journal. http://www.wsj.com/articles/companies-stock-buybacks-help-buoy-the-market-1410823441.

    See Brumley, J. (March 5, 2018). Ten Companies Making Huge Stock Buybacks in 2018. Kiplingers. https://www.kiplinger.com/slideshow/investing/T052-S001-10-companies-making-huge-stock-buybacks-in-2018/index.html.

  7. 7.

    See Short, A. & Makso, S. (Paul Hastings LLP) (February 2012). Tax Treatment of Dividend Equivalent Payments Under New Temporary and Proposed IRS Regulations. http://www.bna.com/tax-treatment-of-dividend-equivalent-payments/.

  8. 8.

    See Shapiro, R. (Eisner Amper) (October 2015). IRS Issues New Final and Temporary Regulations on “Dividend Equivalent” Payment Withholding. http://www.eisneramper.com/dividend-equivalent-withholding-1015.aspx.

  9. 9.

    See GE (2009). Shareholder Proposal #4. Available at http://files.cwa-union.org/Investor/Dividend_Policy_for_Executives_-_GE_2009.pdf. See GE 2007 Proxy Statement, Shareowner Proposal. Available at http://www.ge.com/ar2006/proxy/sprop5.htm.

References

  • Agrawal, A., Jaffe, J., & Mandelker, G. (1992). The Post-merger Performance of Acquiring Firms: A Re-examination of an Anomaly. Journal of Finance, 47(4), 1605–1621.

    Article  Google Scholar 

  • Ainsworth, A., & Nicholson, M. (2015, September). Can Dividend Schedules Predict Abnormal Returns?: International Evidence. http://www.fmaconferences.org/Orlando/Papers/CanDividendSchedulesPredictAbnormalReturnsInternationalEvidence.pdf.

  • Albrecher, H., & Kainhofer, R. (2002). Risk Theory with a Nonlinear Dividend Barrier. Computing, 68(4), 289–311.

    Article  Google Scholar 

  • Andreou, P., Cooper, I., De Olalla, I., & Louca, C. (2015, February). Managerial Overconfidence and the Buyback Anomaly. http://home.bi.no/ilan.cooper/research/OC_Feb_15_2016.pdf.

  • Archaya, V., Myers, S., & Rajan, R. (2011). The Internal Governance of Firms. Journal of Finance, 66(3), 689–720.

    Article  Google Scholar 

  • Arthur, W. B. (1999). Complexity and the Economy. Science, 284, 107–109.

    Article  Google Scholar 

  • Azcue, P., & Muler, N. (2015). Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model. SIAM Journal on Control & Optimization, 53(5), 3270–3298.

    Article  Google Scholar 

  • Babenko, I. (2009). Share Repurchases and Pay-Performance Sensitivity of Employee Compensation Contracts. Journal of Finance, 64(1), 117–150.

    Article  Google Scholar 

  • Bagwell, L. (1991). Share Repurchase and Takeover Deterrence. Journal of Economics, 22, 72–88.

    Google Scholar 

  • Bai, L., & Paulsen, J. (2010). Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes. SIAM Journal on Control & Optimization, 48(8), 4987–5008.

    Article  Google Scholar 

  • Baltas, I., Xepapadeas, A., & Yannacopoulos, A. (2018). Robust Portfolio Decisions for Financial Institutions. Journal of Dynamics & Games, 5(2), 61–94.

    Article  Google Scholar 

  • Baltas, I., & Yannacopoulos, A. (2016). Uncertainty and Inside Information. Journal of Dynamics & Games, 3(1), 1–24.

    Article  Google Scholar 

  • Bambaci, J., Bender, J., et al. (2013). Harvesting Risk Premia for Large Scale Portfolios—Analysis of Risk Premia Indices for the Ministry of Finance, Norway. https://www.regjeringen.no/contentassets/f453b48778c342d9a7ed8d6810d6cea4/harvesting_risk.pdf.

  • Bargeron, L., Lehn, M., & Zutter, C. (2010). Sarbanes-Oxley and Corporate Risk Taking. Journal of Accounting and Economics, 49, 34–52.

    Article  Google Scholar 

  • Barraclough, K., & Whaley, R. (2015). Early Exercise of Put Options on Stocks. Journal of Finance, 67(4), 1423–1456.

    Article  Google Scholar 

  • Bartov, E. (1991). Open-Market Stock Repurchases Signals for Earnings and Risk Changes. Journal of Accounting and Economics, 14(3), 275–294.

    Article  Google Scholar 

  • Belo, F., Collin-Dufresne, P., & Goldstein, R. (2015). Dividend Dynamics and the Term Structure of Dividend Strips. Journal of Finance, 70(3), 1115–1160.

    Article  Google Scholar 

  • Beltratti, A., & Stulz, R. (2012). The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? Journal of Financial Economics, 105(1), 1.

    Article  Google Scholar 

  • Ben-Rephael, A., Oded, J., & Wohl, A. (2014). Do Firms Buy Their Stock at Bargain Prices? Evidence from Actual Stock Repurchase Disclosures. Review of Finance, 18, 1299–1340.

    Article  Google Scholar 

  • Bernard, L. (1926). Primary and Derivative Attitudes and Ideals, Chapter-27. In An Introduction to Social Psychology (pp. 425–437). New York: Henry Holt. Available at https://www.brocku.ca/MeadProject/Bernard/1926/1926_27.html.

  • Bernard, L. (1936). The Conflict Between Primary Group Attitudes and Derivative Group Ideals in Modern Society. American Journal of Sociology, 41(5), 611–623.

    Article  Google Scholar 

  • Bhargava, A. (2010). An Econometric Analysis of Dividends and Share Repurchases by US firms. Journal of the Royal Statistical Society Series-A, 173(4), 631–656.

    Article  Google Scholar 

  • Bholat, D., & Gray, J. (2013). Organizational Form as a Source of Systemic Risk. Economics E-Journal, 7(2013–27).

    Google Scholar 

  • Billett, M., & Xue, H. (2007). The Takeover Deterrent Effect of Open Market Share Repurchases. Journal of Finance, 62(4), 1827–1850.

    Article  Google Scholar 

  • Blouin, J., Ready, J., & Shackelford, D. (2011). Dividends, Share Repurchases, and Tax Clienteles: Evidence from the 2003 Reductions in Shareholder Taxes. Accounting Review, 86, 887–914.

    Article  Google Scholar 

  • Boehme, R., & Sorescu, S. (2002). The Long-Run Performance Following Dividend Initiations and Resumptions: Underreaction or Product of Chance? Journal of Finance, 57(2), 871–900.

    Article  Google Scholar 

  • Boeing, G. (2016). Visual Analysis of Nonlinear Dynamical Systems: Chaos, Fractals, Self-Similarity and the Limits of Prediction. Systems, 4(4), 37.

    Article  Google Scholar 

  • Carlson, R., & Vogel, T. (2006). Restricted Stock Versus Stock Options: The Case of Jones Apparel Group, Inc. Issues Accounting Education, 21(4), 449–459.

    Article  Google Scholar 

  • Chan, K., Ikenberry, D., & Lee, I. (2004). Economic Sources of Gains in Stock Repurchases. Journal of Financial and Quantitative Analysis, 39(3), 461–479.

    Article  Google Scholar 

  • Chan, K., Ikenberry, D., & Lee, I. (2007). Do Managers Time the Market? Evidence for Open-market Share Repurchases. Journal of Banking & Finance, 31(9), 2673–2694.

    Article  Google Scholar 

  • Chandra, A., & Thenmozhi, M. (2017). Behavioural Asset Pricing: Review and Synthesis. Journal of Interdisciplinary Economics, 29, 1–31.

    Google Scholar 

  • Chen, S., Li, Z., & Zeng, Y. (2018). Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty. SIAM Journal On Financial Mathematics, 9(1), 274–314.

    Article  Google Scholar 

  • Chen, S., & Wang, Y. (2012). Financial Constraints and Share Repurchases. Journal of Financial Economics, 104, 311–331.

    Article  Google Scholar 

  • Chu, M. (2008). Linear Algebra Algorithms as Dynamical Systems. Acta Numerica, 17, 1–86.

    Google Scholar 

  • Cicone, A., Guglielmi, N., & Protasov, V. (2018). Linear Switched Dynamical Systems on Graphs. Nonlinear Analysis: Hybrid Systems, 29, 165–186.

    Google Scholar 

  • Claudiu, B. (2013). Formal Representation of Corporate Governance Principles and Codes. Procedia—Social and Behavioral Sciences, 73, 744–750.

    Google Scholar 

  • Cusatis, P., Miles, J., & Woolridge, J. (1993). Restructuring Through Spinoffs: The Stock Market Evidence. Journal of Financial Economics, 33(3), 293–311.

    Article  Google Scholar 

  • Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under- and Overreaction. Journal of Finance, 53, 1839–1885.

    Article  Google Scholar 

  • DeAngelo, H., DeAngelo, L., & Skinner, D. (1992). Dividends and Losses. Journal of Finance, 47(5), 1837–1863.

    Article  Google Scholar 

  • Deck, C., & Schlesinger, H. (2014). Consistency of Higher Order Risk Preferences. Econometrica, 82(5), 1913–1943.

    Article  Google Scholar 

  • Dellnitz, M., & Junge, O. (1999). On The Approximation of Complicated Dynamical Behavior. SIAM Journal of Numerical Analysis, 36(2), 491–515.

    Article  Google Scholar 

  • Deprez, O. (2004). Discussion of “Optimal Dividends: Analysis with Brownian Motion”. North American Actuarial Journal, 8(2), 111.

    Article  Google Scholar 

  • Dey, A. (2010). The Chilling Effect of Sarbanes-Oxley: A Discussion of Sarbanes-Oxley and Corporate Risk Taking. Journal of Accounting and Economics, 49, 53–57.

    Article  Google Scholar 

  • Dhillon, U., & Johnson, H. (1994). The Effect of Dividend Changes on Stock and Bond Prices. Journal of Finance, 49, 281–289.

    Article  Google Scholar 

  • Dmitriev, A., Tsukanova, O., & Maltseva, A. (2017). Modeling of Microblogging Social Networks: Dynamical System vs Random Dynamical System. Procedia Computer Science, 122, 812–819.

    Article  Google Scholar 

  • Dreschler, I. (2013). Uncertainty, Time-Varying Fear, and Asset Prices. Journal of Finance, 68(5), 1843–1889.

    Article  Google Scholar 

  • Du, K. (2016, August). Investor Expectations, Earnings Management, and Asset Prices. Working Paper. Pennsylvania State University, USA. Available at SSRN https://ssrn.com/abstract=2852553.

  • Dutta, S., Biswal, M., et al. (2018). Fuzzy Stochastic Price Scenario Based Portfolio Selection and Its Application to BSE Using Genetic Algorithm. Applied Soft Computing, 62, 867–891.

    Article  Google Scholar 

  • Elekdag, S., & Gelos, G. (2016, November). Corporate Governance and Financial Stability in Emerging Markets. VOX.

    Google Scholar 

  • Ellul, A. (2015). The Role of Risk Management in Corporate Governance. Annual Review of Financial Economics, 7, 279.

    Article  Google Scholar 

  • Ellul, A., & Yerramilli, V. (2013). Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies. Journal of Finance, 68, 1757.

    Google Scholar 

  • Elton, E. (1999). Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests. The Journal of Finance, 54(4), 1199–1220.

    Article  Google Scholar 

  • Ernst & Young (2014). Share-Based Payment (Revised July 2014).

    Google Scholar 

  • Esqueda, O. (2016). Signaling, Corporate Governance, and the Equilibrium Dividend Policy. The Quarterly Review of Economics and Finance, 59, 186–199.

    Article  Google Scholar 

  • Evgeniou, T., de Fortuny, E., Nassuphis, N., & Vermaelen, T. (2016, February). Share Buyback and Equity Issue Anomalies Revisited. http://www.dimfunds.com/wp-content/uploads/2016/03/Share-Buyback-and-Equity-Anomaly-Revisited-Feb-2016.pdf.

  • Fahlenbrach, R., & Stulz, R. (2010). Bank CEO Incentives and the Credit Crisis. Journal of Financial Economics, 99(1), 11.

    Article  Google Scholar 

  • Fama, E., & French, K. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 60, 3–43.

    Article  Google Scholar 

  • Fama, E., & French, K. (2008). Dissecting Anomalies. Journal of Finance, 63, 1653–1678.

    Article  Google Scholar 

  • Fang, Y., & Wu, R. (2009). Optimal Dividends in the Brownian Motion Risk Model with Interest. Journal of Computational and Applied Mathematics, 229(1), 145–151.

    Article  Google Scholar 

  • Faulkender, M., & Wang, R. (2006). Corporate Financial Policy and the Value of Cash. Journal of Finance, 61(4), 1957–1990.

    Article  Google Scholar 

  • Fenn, G., & Liang, N. (2001). Corporate Payout Policy and Managerial Stock Incentives. Journal of Financial Economics, 60, 45–72.

    Article  Google Scholar 

  • Fried, J. (2011). Share Repurchases, Equity Issuances, and the Optimal Design of Executive Pay. Texas Law Review, 89, 1112–1120.

    Google Scholar 

  • Fung, S., Su, L., & Gul, R. (2013). Investor Legal Protection and Earnings Management: A Study of Chinese H-shares and Hong Kong Shares. Journal of Accounting and Public Policy, 32(5), 392–409.

    Article  Google Scholar 

  • Gao, H., & Yin, C. (2008). The Perturbed Sparre Andersen Model with a Threshold Dividend Strategy. Journal of Computational and Applied Mathematics, 220(1–2), 394–408.

    Article  Google Scholar 

  • Gerber, H. (1972). Games of Economic Survival with Discrete- and Continuous-income Process. Operations Research, 20, 37–45.

    Article  Google Scholar 

  • Gerber, H., & Shiu, E. (2006). On Optimal Dividends: From Reflection to Refraction. Journal of Computational and Applied Mathematics, 186(1), 4–22.

    Article  Google Scholar 

  • Gompers, P., Ishii, J., & Metrick, A. (2003). Corporate Governance and Equity Prices. Quarterly Journal of Economics, 118, 107–156.

    Article  Google Scholar 

  • Gong, G., Louis, H., & Sun, A. (2008). Earnings Management and Firm Performance Following Open-market Repurchases. Journal of Finance, 63(2), 947–986.

    Article  Google Scholar 

  • Grullon, G., & Michaely, R. (2002). Dividends, Share Repurchases, and the Substitution Hypothesis. Journal of Finance, 57(4), 1649–1684.

    Article  Google Scholar 

  • Grullon, G., & Michaely, R. (2004). The Information Content of Share Repurchase Programs. Journal of Finance, 59, 651–680.

    Article  Google Scholar 

  • Guay, W., & Harford, J. (2000). The Cash-Flow Permanence and Information Content of Dividend Increase Versus Repurchases. Journal of Financial Economics, 57(3), 385–415.

    Article  Google Scholar 

  • Gülpınar, N., & Çanakoḡlu, E. (2017). Robust Portfolio Selection Problem Under Temperature Uncertainty. European Journal of Operational Research, 256(2), 500–523.

    Article  Google Scholar 

  • Guptaa, K., Krishnamurtib, C., & Tourani-Rada, A. (2015). Is Corporate Governance Relevant During the Financial Crisis? Journal of International Financial Markets, Institutions & Money, 23, 85–110.

    Article  Google Scholar 

  • Han, Y., & Li, P. (2017). An Empirical Study of Chance-Constrained Portfolio Selection Model. Procedia Computer Science, 122, 1189–1195.

    Article  Google Scholar 

  • Hao, Q. (2016). Is There Information Leakage Prior to Share Repurchase Announcements? Evidence from Daily Options Trading. Journal of Financial Markets, 27, 79–101.

    Article  Google Scholar 

  • Hines, J. R. (1999). Three Sides of Harberger Triangles. Journal of Economic Perspectives, 13(2), 167–188.

    Article  Google Scholar 

  • Hou, D., & Xu, Z. (2016). A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim. SIAM Journal on Financial Mathematics, 7(1), 124–151.

    Article  Google Scholar 

  • Huang, X., & Di, H. (2016). Uncertain Portfolio Selection with Background Risk. Applied Mathematics and Computation, 276, 284–296.

    Article  Google Scholar 

  • Huang, J., Shen, Y., & Sun, Q. (2011). Non-negotiable Shares, Controlling Shareholders, and Dividend Payments in China. Journal of Corporate Finance, 17(1), 122–133.

    Article  Google Scholar 

  • Hughes, J., Liu, J., & Liu, J. (2009). On the Relation Between Expected Returns and Implied Cost of Capital. Review of Accounting Studies, 14, 246–259.

    Article  Google Scholar 

  • Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market Under-reaction to Open Market Share Repurchases. Journal of Financial Economics, 39, 181–208.

    Article  Google Scholar 

  • Illeditsch, P. (2011). Ambiguous Information, Portfolio Inertia, and Excess Volatility. Journal of Finance, 66(6), 2213–2247.

    Article  Google Scholar 

  • International Monetary Fund. (2016, October). Corporate Governance, Investor Protection, and Financial Stability in Emerging Markets, Chapter 3. In Global Financial Stability Report. Washington, DC.

    Google Scholar 

  • Jacob, M., & Jacob, M. (2013). Taxation, Dividends, and Share Repurchases: Taking Evidence Global. Journal of Financial & Quantitative Analysis, 48(4), 1241–1269.

    Article  Google Scholar 

  • Jagannathan, M., Stephens, C., & Weisbach, M. (2000). Financial Flexibility and the Choice Between Dividends and Stock Repurchases. Journal of Financial Economics, 57, 355–384.

    Article  Google Scholar 

  • Jana, P., Roy, T., & Mazumder, S. (2009). Multi-Objective Possibilistic Model for Portfolio Selection with Transaction Cost. Journal of Computational and Applied Mathematics, 228(1), 188–196.

    Article  Google Scholar 

  • Jeanblanc-Picqué, M., & Shiryaev, A. (1995). Optimization of the Flow of Dividends. Russian Mathematical Surveys, 20, 257–277.

    Article  Google Scholar 

  • Jia, Z. (2013). Dividend Equivalent Rights: An Empirical Study. Working Paper. www.ssrn.com.

  • Jia, Z. (2014). Essays on Dividend Equivalent Rights and CEO Compensation. Ph.D. Thesis, Graduate Faculty of the Louisiana State University Agricultural and Mechanical College, Louisiana, USA. http://etd.lsu.edu/docs/available/etd-06032014-164025/unrestricted/Jia_Diss.pdf.

  • Jia, Z., & Chance, D. (2016). Dividends on Unearned Shares and Corporate Payout Policy: An Analysis of Dividend Equivalent Rights. Working Paper. https://www.business.msstate.edu/magnolia/agenda/Dividends-on-Unearned-Shares-and-Corporate-Payout-Policy_Chance.pdf.

  • John, K., & Lang, L. (1991). Insider Trading Around Dividend Announcements: Theory and Evidence. Journal of Finance, 46(40), 1361–1389.

    Article  Google Scholar 

  • Johnson, S., Boone, P., et al. (2000). Corporate Governance in the Asian Financial Crisis. Journal of Financial Economics, 58(1–2), 141–186.

    Article  Google Scholar 

  • Kahle, K. M. (2002). When a Buyback Isn’t a Buyback: Open Market Repurchases and Employee Options. Journal of Financial Economics, 63, 235–261.

    Article  Google Scholar 

  • Kakushadze, Z. (2016). On Origins of Alpha. https://arxiv.org/ftp/arxiv/papers/1511/1511.01395.pdf.

  • Karpoff, J. M., Lee, D. S., & Martin, G. (2008a). The Cost to Firms of Cooking the Books. Journal of Financial & Quantitative Analysis, 43, 581–612.

    Article  Google Scholar 

  • Karpoff, J. M., Lee, D. S., & Martin, G. (2008b). The Consequences to Managers for Cooking the Books. Journal of Financial Economics, 88, 193–215.

    Article  Google Scholar 

  • Kerestecioglu, F., & Cetin, I. (2004). Optimal Input Design For Detection of Changes Towards Unknown Hypothesis. International Journal of Systems Science, 35(7), 435–444.

    Article  Google Scholar 

  • Kim, J., Li, Y., & Zhang, L. (2011a). Corporate Tax Avoidance and Stock Price Crash Risk: Firm-Level Analysis. Journal of Financial Economics, 100, 639–662.

    Article  Google Scholar 

  • Kim, J., Li, Y., & Zhang, L. (2011b). CFOs Versus CEOs: Equity Incentives and Crashes. Journal of Financial Economics, 101, 713–730.

    Article  Google Scholar 

  • Kim, H., Kwon, O., & Oh, G. (2016). A Causality Between Fund Performance and Stock Market. Physica A: Statistical Mechanics and its Applications, 443, 439–450.

    Article  Google Scholar 

  • Kim, J., & Zhang, L. (2013). Accounting Conservatism and Stock Price Crash Risk: Firm-Level Evidence. Contemporary Accounting Research.

    Google Scholar 

  • Kuehn, C., Malavolta, G., & Rasmussen, M. (2018). Early-Warning Signals for Bifurcations in Random Dynamical Systems with Bounded Noise. Journal of Mathematical Analysis and Applications, 464(1), 58–77.

    Article  Google Scholar 

  • Kung, H., & Schmid, L. (2015). Innovation, Growth, and Asset Prices. Journal of Finance, 70(3), 1001–1037.

    Article  Google Scholar 

  • Lazonick, W. (2014, October 16). Numbers Show Apple Shareholders Have Already Gotten Plenty. Harvard Business Review. Available at https://hbr.org/2014/10/numbers-show-apple-shareholders-have-already-gotten-plenty.

  • Lee, B., & Rui, O. (2007). Time-Series Behavior of Share Repurchases and Dividends. Journal of Financial & Quantitative Analysis, 42(1), 119–142.

    Article  Google Scholar 

  • Li, E., Livdan, D., & Zhang, L. (2009). Anomalies. The Review of Financial Studies, 22(11), 4302–4331.

    Google Scholar 

  • Li, B., Zhu, Y., et al. (2018). Multi-Period Portfolio Selection Problem Under Uncertain Environment with Bankruptcy Constraint. Applied Mathematical Modelling, 56, 539–550.

    Article  Google Scholar 

  • Lie, E. (2000). Excess Funds and Agency Problems: An Empirical Study of Incremental Cash Disbursement. Review of Financial Studies, 13, 219–248.

    Article  Google Scholar 

  • Lie, E. (2005). Operating Performance Following Open Market Share Repurchase Announcements. Journal of Accounting and Economics, 39(3), 411–436.

    Article  Google Scholar 

  • Lie, E., & Lie, H. (1999). The Role of Personal Taxes in Corporate Decisions: An Empirical Analysis of Share Repurchases and Dividends. Journal of Financial and Quantitative Analysis, 34, 533–552.

    Article  Google Scholar 

  • Lin, J., Stephens, C., & Wu, Y. (2014). Limited Attention, Share Repurchases, and Takeover Risk. Journal of Banking & Finance, 42, 283–301.

    Article  Google Scholar 

  • Lind, H., & Granqvist, R. (2010). A Note on the Concept of Excess Burden. Economic Analysis & Policy, 40, 63–73.

    Article  Google Scholar 

  • Liu, Y., Szewczyk, S., & Zantout, Z. (2008). Under-Reaction to Dividend Reductions and Omissions? Journal of Finance, 63(2), 987–1020.

    Article  Google Scholar 

  • Liu, J., Wang, W., Golnaraghi, F., & Kubica, E. (2010). A Novel Fuzzy Framework for Nonlinear System Control. Fuzzy Sets and Systems, 161(21), 2746–2759.

    Google Scholar 

  • Liu, Q., & Zou, X. (2018). A Risk Minimization Problem for Finite Horizon Semi-Markov Decision Processes with Loss Rates. Journal of Dynamics & Games, 5(2), 143–163.

    Article  Google Scholar 

  • Manconi, A., Peyer, U., & Vermaelen, T. (2015). Buybacks Around the World: Market Timing, Governance and Regulation. Working Paper. INSEAD, France.

    Google Scholar 

  • Maxwell, W., & Stephens, C. (2003). The Wealth Effects of Repurchases on Bondholders. Journal of Finance, 58, 895–919.

    Article  Google Scholar 

  • McCarter, M., Rockmann, K., & Northcraft, G. (2010). Is It Even Worth It? The Effect of Loss Prospects in the Outcome Distribution of a Public Goods Dilemma. Organizational Behavior and Human Decision Processes, 111(1), 1–12.

    Article  Google Scholar 

  • Melendy, S. (2011). Monitoring Legal Compliance: The Growth of Compliance Committees. Accounting Perspectives, 10(4).

    Article  Google Scholar 

  • Michaely, R., Thaler, R., & Womack, K. (1995). Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? Journal of Finance, 50, 573–608.

    Article  Google Scholar 

  • Michel, A., Oded, J., & Shaked, I. (2010). Not All Buybacks Are Created Equal: The Case of Accelerated Stock Repurchases. Financial Analysts Journal, 66(6), 55–72.

    Google Scholar 

  • Miklashevich, I. (2003). Mathematical Representation of Social Systems: Uncertainty and Optimization of Social System Evolution. Non Linear Phenomena In Complex Systems, 6(2), 678–686.

    Google Scholar 

  • Minnick, K., & Rosenthal, L. (2010). Stealth Compensation: Do CEOs/Directors Increase Their Pay by Influencing Dividend Policy?

    Google Scholar 

  • Nalpas, N., Simar, L., & Vanhems, A. (2017). Portfolio Selection in a Multi-Moment Setting: A Simple Monte-Carlo-FDH Algorithm. European Journal of Operational Research, 263(1), 308–320.

    Article  Google Scholar 

  • Nguyen, T., Sutton, N., & Pham, D. (2015). The Post-repurchase Announcement Drift: An Anomaly in Disguise? Managerial Finance, 41(2), 205–224.

    Article  Google Scholar 

  • Noussair, C., Trautmann, S., & Kuilen, G. (2013). Higher Order Risk Attitudes, Demographics and Saving. Review of Economic Studies, 81(1), 325–355.

    Article  Google Scholar 

  • Nwogugu, M. (2004). Legal, Economic and Behavioral Issues in Accounting for Stock Options. Managerial Auditing Journal, 19(9), 1078–1118.

    Article  Google Scholar 

  • Nwogugu, M. (2006). Decision-Making, Risk and Corporate Governance: New Dynamic Models/Algorithms and Optimization for Bankruptcy Decisions. Applied Mathematics and Computation, 179(1), 386–401.

    Article  Google Scholar 

  • Nwogugu, M. (2007a). Decision-Making, Risk and Corporate Governance: A Critique of Methodological Issues in Bankruptcy/Recovery Prediction Models. Applied Mathematics and Computation, 185(1), 178–196.

    Article  Google Scholar 

  • Nwogugu, M. (2007b). Some Game Theory and Financial Contracting Issues in Large Corporate Transactions. Applied Mathematics and Computation, 186(2), 1018–1030.

    Article  Google Scholar 

  • Nwogugu, M. (2008a). Equity-Based Incentives, Wealth Transfers and Disruption Costs and New Models. Corporate Ownership & Control, 5(1), 292–304.

    Google Scholar 

  • Nwogugu, M. (2008b). The Efficiency of Sarbanes-Oxley Act: Willingness To Comply and Agency Problems. Corporate Control & Ownership, 5(1), 449–454.

    Google Scholar 

  • Nwogugu, M. (2010). Problems Inherent in the Compensation and Business Models of Credit Rating Agencies. Working Paper. Available in www.ssrn.com.

  • Nwogugu, M. (2013). Decision-Making, Sub-Additive Recursive “Matching” Noise and Biases in Risk-Weighted Index Calculation Methods in In-Complete Markets with Partially Observable Multi-Attribute Preferences. Discrete Mathematics, Algorithms & Applications, 05, 1350020.

    Article  Google Scholar 

  • Nwogugu, M. (2014). Conflicts of Interest; And The Existence of Anti-Compliance Coordination and Un-Cooperative Cartels Among Nigerian Financial Services Companies. Available at www.ssrn.com.

  • Nwogugu, M. (2015a). Goodwill/Intangibles Rules and Earnings Management. European Journal of Law Reform, 17(1), 1–10.

    Google Scholar 

  • Nwogugu, M. (2015b). Failure of The Dodd-Frank Act. Journal of Financial Crime, 22, 520–572.

    Article  Google Scholar 

  • Nwogugu, M. (2015c). Un-Constitutionality of The Dodd-Frank Act. European Journal of Law Reform, 17, 185.

    Article  Google Scholar 

  • Nwogugu, M. (2015d). Real Options, Enforcement of and Goodwill/Intangibles Rules and Associated Behavioral Issues. Journal Of Money Laundering Control, 18(3), 330–351.

    Article  Google Scholar 

  • Nwogugu, M. (2017a). The Historical and Current Concepts of “Plain” Interest Rates, Forward Rates and Discount Rates Are or Can Be Misleading, Chapter-6. In Anomalies in Net Present Value, Returns and Polynomials; and Regret Theory in Decision-Making. London: Palgrave Macmillan.

    Google Scholar 

  • Nwogugu, M. (2017b). Some Biases and Evolutionary Homomorphisms Implicit in the Calculation of Returns, Chapter-8. In Anomalies in Net Present Value, Returns and Polynomials; and Regret Theory in Decision-Making. London: Palgrave Macmillan.

    Google Scholar 

  • Nwogugu, M. (2017c). Regret Theory and Asset Pricing Anomalies in Incomplete Markets with Dynamic Unaggregated Preferences, Chapter-3. In Anomalies in Net Present Value, Returns and Polynomials; and Regret Theory in Decision-Making. London: Palgrave Macmillan.

    Google Scholar 

  • Nwogugu, M. (2017d). Spatio-Temporal Framing Anomalies in the NPV-IRR Model and Related Approaches; and Regret Theory, Chapter-2. In Anomalies in Net Present Value, Returns and Polynomials; and Regret Theory in Decision-Making. London: Palgrave Macmillan.

    Google Scholar 

  • Omidi, F., Abbasi, B., & Nazemi, A. (2017). An Efficient Dynamic Model for Solving a Portfolio Selection with Uncertain Chance Constraint Models. Journal of Computational and Applied Mathematics, 319, 43–55.

    Article  Google Scholar 

  • Papaikonomou, V. (2010). Credit Rating Agencies and Global Financial Crisis: Need for a Paradigm Shift in Financial Market Regulation. Studies in Economics and Finance, 27, 161–174.

    Article  Google Scholar 

  • Petrohilos-Andrianos, Y., & Xepapadeas, A. (2016). On the Evolution of Compliance and Regulation with Tax Evading Agents. Journal of Dynamics & Games, 3(3), 231–260.

    Article  Google Scholar 

  • Peyer, U., & Vermaelen, T. (2009). The Nature and Persistence of Buyback Anomalies. Review of Financial Studies, 22(4).

    Google Scholar 

  • Pinkowitz, L., Stultz, R., & Williamson, R. (2006). Does the Contribution of Corporate Cash Holdings and Dividends to Firm Value Depend on Governance? A Cross-country Analysis. Journal of Finance, 61(6), 2725–2751.

    Article  Google Scholar 

  • Pozen, R. (2017). The Board’s Role in Share Repurchases. Sloan Management Review. https://www.brookings.edu/opinions/the-boards-role-in-share-repurchases/.

  • Qin, Z., Li, X., & Ji, X. (2009). Portfolio Selection Based on Fuzzy Cross-entropy. Journal of Computational and Applied Mathematics, 228(1), 139–149.

    Article  Google Scholar 

  • Roehner, B. (2005). Stock Markets Are Not What We Think They Are: The Key Roles of Cross-ownership and Corporate Treasury Stock. Physica A: Statistical Mechanics and its Applications, 347, 613–625.

    Article  Google Scholar 

  • Ross, S. (2015). The Recovery Theorem. Journal of Finance, 70(2), 615–648.

    Article  Google Scholar 

  • Sánchez-Sánchez, F., & Vargas-Valencia, M. (2018). Games with Nested Constraints Given by a Level Structure. Journal of Dynamics & Games, 5(2), 95–107.

    Article  Google Scholar 

  • Skadden (2013, February). Corporate Finance Alert: Share Repurchases. Available at http://www.skadden.com/newsletters/Corporate_Finance_Alert_Share_Repurchases.pdf.

  • Skinner, D. (2008). The Evolving Relation Between Earnings, Dividends, and Stock Repurchases. Journal of Financial Economics, 87(3), 582–609.

    Article  Google Scholar 

  • Song, Q., Liu, A., & Yang, S. (2017). Stock Portfolio Selection Using Learning-to-rank Algorithms with News Sentiment. Neurocomputing, 264, 20–28.

    Article  Google Scholar 

  • Stulz, R. (2015). Risk-Taking and Risk Management by Banks. Journal of Applied Corporate Finance, 27, 8.

    Article  Google Scholar 

  • Sun, B. (2011, June). Limited Market Participation and Asset Prices in the Presence of Earnings Management (Discussion Papers #1019). Board of Governors of the Federal Reserve System, International Finance. https://www.federalreserve.gov/pubs/ifdp/2011/1019/ifdp1019.pdf.

  • Szyszka, A. (2013). Asset-Pricing Anomalies and Investment Strategies. In Behavioral Finance and Capital Markets. New York: Palgrave Macmillan.

    Chapter  Google Scholar 

  • Taksar, M. (2001). Optimal Risk and Dividend Distribution Control Models for an Insurance Company. Mathematical Methods of Operations Research, 51, 1–42.

    Article  Google Scholar 

  • Taleb, N. (2009). Finiteness of Variance Is Irrelevant in the Practice of Quantitative Finance. Complexity, 14(3), 66–76.

    Article  Google Scholar 

  • Tang, Y., Wu, J., & Zhang, L. (2014, January). Do Anomalies Exist Ex Ante? Review of Finance, 18(3), 843–875.

    Article  Google Scholar 

  • Thanassoullis, J. (2012). The Case for Intervening in Bankers’ Pay. Journal of Finance, 67(3), 849–895.

    Article  Google Scholar 

  • Tong, J., & Bremer, M. (2016). Stock Repurchases in Japan: A Solution to Excessive Corporate Saving? Journal of the Japanese and International Economies, 41, 41–56.

    Article  Google Scholar 

  • Vermaelen, T. (1981). Repurchase Tender Offers, Signaling, and Managerial Incentives. Journal of Financial and Quantitative Analysis, 19, 163–181.

    Article  Google Scholar 

  • Vermaelen, T. (1984). Common Stock Repurchases and Market Signaling: An Empirical Study. Journal of Financial Economics, 9, 139–183.

    Article  Google Scholar 

  • Von Eije, H., & Megginson, W. (2008). Dividends and Share Repurchases in the European Union. Journal of Financial Economics, 89, 347–374.

    Article  Google Scholar 

  • Wang, B., Li, Y., & Watada, J. (2017). Multi-Period Portfolio Selection with Dynamic Risk/Expected-return Level Under Fuzzy Random Uncertainty. Information Sciences, 385–386, 1–18.

    Google Scholar 

  • White, L. (2014). Corporate Governance and Prudential Regulation of Banks: Is There Any Connection? In Barth, Lin and Wihlborg (Eds.), 344.

    Google Scholar 

  • Wong, K., Yam, S., & Zheng, H. (2017). Utility-Deviation-Risk Portfolio Selection. SIAM Journal on Control & Optimization, 55(3), 1819–1861.

    Article  Google Scholar 

  • Xia, J. (2011). Risk Aversion and Portfolio Selection in a Continuous-Time Model. SIAM Journal on Control & Optimization, 49(5), 1916–1937.

    Article  Google Scholar 

  • Yang, G., & Liu, X. (2018). Goal-based Portfolio Choice Model with Discounted Preference. Journal of Computational and Applied Mathematics, 238, 365–380.

    Article  Google Scholar 

  • Yeo, K., & Melny, I. (2019). Deep Learning Algorithm for Data-Driven Simulation of Noisy Dynamical System. Journal of Computational Physics, 376, 1212–1231.

    Article  Google Scholar 

  • Yin, G., Jin, H., & Jin, Z. (2009). Numerical Methods for Portfolio Selection with Bounded Constraints. Journal of Computational and Applied Mathematics, 233(2), 564–581.

    Article  Google Scholar 

  • Yook, K. C. (2010). Long-run Performance Following Stock Repurchases. Quarterly Review of Economics & Finance, 50(3), 323–331.

    Article  Google Scholar 

  • Yue, W., & Wang, Y. (2017). A New Fuzzy Multi-Objective Higher Order Moment Portfolio Selection Model for Diversified Portfolios. Physica A: Statistical Mechanics and its Applications, 465, 124–140.

    Article  Google Scholar 

  • Zhao, P., & Qingxian, Q. (2016). Portfolio Selection Problem with Value-at-Risk Constraints Under Non-extensive Statistical Mechanics. Journal of Computational and Applied Mathematics, 298, 64–71.

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Enugu, Nigeria

    Michael I. C. Nwogugu

Authors
  1. Michael I. C. Nwogugu
    View author publications

    You can also search for this author in PubMed Google Scholar

Copyright information

© 2019 The Author(s)

About this chapter

Check for updates. Verify currency and authenticity via CrossMark

Cite this chapter

Nwogugu, M.I.C. (2019). Reasoning, Knowledge Representation and Algorithmic Turning-Point Problems Given Anomalies Inherent in DERs and ASRs. In: Complex Systems, Multi-Sided Incentives and Risk Perception in Companies. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-44704-3_10

Download citation

  • DOI: https://doi.org/10.1057/978-1-137-44704-3_10

  • Published:

  • Publisher Name: Palgrave Macmillan, London

  • Print ISBN: 978-1-137-44703-6

  • Online ISBN: 978-1-137-44704-3

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

Publish with us

Policies and ethics

Search

Navigation