This research brief delves into the intricate domain of share buyback execution, particularly focusing on the temporal optionality aspect, which has been overlooked in traditional execution practices. Using a novel dataset sourced from regulatory filings on share buybacks, we employ Monte Carlo...

This paper introduces a novel hypothesis in the context of share buybacks, proposing the existence of a "Free Lunch" phenomenon associated with the use of specific execution products. The hypothesis posits that these products can generate consistently positive fees, offering a consistent return...

This hypothesis paper explores a potential anomaly within the realm of share buybacks, positing an inevitable brokerage outperformance due to temporal optionality. The hypothesis under examination is that brokerage firms, regardless of stock price movements, can consistently outperform due to...

This paper unveils the unexplored concept of a "Free Lunch" phenomenon within share buybacks, focusing on the inherent structure of buyback products. We propose a novel hypothesis, suggesting that the unique structural characteristics of share buyback transactions may create a consistent...

When repurchasing shares, companies should aim to get the maximum shares for their money, reduce exposure to market risk, and maintain reasonable commission fees. We identify how companies can fall short in these areas, shedding light on the underlying mechanisms that brokers employ in the...

This paper presents a robust analysis of temporal optionality in share buyback executions, shedding light on a significant empirical anomaly and providing a novel value optimization approach. Through empirical studies, we discern an intriguing pattern in trading schedules that aligns with the...

In this era of rapid digital revolution within the financial sector, our paper offers a cutting-edge approach to the intricacies of share buyback programs by employing Genetic Algorithms (GAs). Navigating the complexity of financial market operations, we leverage artificial intelligence to craft...

This paper offers an innovative and robust exploration of share buyback execution strategies, unveiling three previously unrecognized anomalies that cast doubts on traditional financial theories. We first introduce the Trading Schedule Anomaly, an atypical timing and sequencing pattern observed...

We analyze statistical properties of the largest cryptocurrencies (determined by market capitalization), of which Bitcoin is the most prominent example. We characterize their exchange rates versus the U.S. Dollar by fitting parametric distributions to them. It is shown that returns are clearly...

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...