IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812706683_0011.html
   My bibliography  Save this book chapter

Stock Repurchase Policy With Transaction Costs Under Jump Risks

In: Recent Advances In Stochastic Operations Research

Author

Listed:
  • HIROMICHI GOKO

    (Bank of Japan, 2-1-1 Nihonbashi-Hongokucho Chuo-ku, Tokyo, 103-8660, Japan)

  • MASAMITSU OHNISHI

    (Graduate School of Economics, Osaka University, 1-7 Machikaneyama Toyonaka, Osaka, 560-0043, Japan)

  • MOTOH TSUJIMURA

    (Faculty of Economics, Ryukoku University, 67 Fukakusa Tsukamoto-cho Fushimi-ku, Kyoto, 612-8577, Japan)

Abstract

We examine a stock repurchase policy with fixed and proportional transaction costs under jump risks. The firm's problem is to maximize the expected total discounted stock repurchases. To solve the problem, we formulate it as a stochastic impulse control problem, and then approach it using quasi-variational inequalities (QVI). Then, we prove that the value function is a solution to the QVI and that the QVI policy is optimal. Furthermore, we present the results of numerical examples and conduct comparative-static analysis. The amount of the ith stock repurchase is increasing in the fixed and proportional transaction costs. An increase in the fixed and proportional transaction costs lengthens the expected interval of stock repurchase time. Unfortunately, the effect of jump risk on the stock repurchase policy is ambiguous.

Suggested Citation

  • Hiromichi Goko & Masamitsu Ohnishi & Motoh Tsujimura, 2007. "Stock Repurchase Policy With Transaction Costs Under Jump Risks," World Scientific Book Chapters, in: Tadashi Dohi & Shunji Osaki & Katsushige Sawaki (ed.), Recent Advances In Stochastic Operations Research, chapter 11, pages 161-174, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812706683_0011
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812706683_0011
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812706683_0011
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812706683_0011. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.