Actual share repurchases, timing and liquidity
AbstractResearch on the impact of open market share repurchases has been hindered by the lack of data available on actual share repurchases in many countries, including the US. Using a previously unused database containing detailed information on 36,848 repurchases made by 352 French firms, we show that corporate share repurchases have a significant adverse effect on liquidity as measured by bid–ask spread or depth. Our results also indicate that share repurchases largely reflect contrarian trading rather than managerial timing ability.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by HAL in its series Post-Print with number halshs-00136568.
Date of creation: 2007
Date of revision:
Publication status: Published, Journal of Banking & Finance, 2007, 31, 3, 915-938
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00136568/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
Repurchase; Timing; Liquidity; Euronext Paris;
Other versions of this item:
- G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Barclay, Michael J. & Smith, Clifford Jr., 1988. "Corporate payout policy : Cash Dividends versus Open-Market Repurchases," Journal of Financial Economics, Elsevier, vol. 22(1), pages 61-82, October.
- Wiggins, James B, 1994. "Open Market Stock Repurchase Programs and Liquidity," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 17(2), pages 217-29, Summer.
- Vermaelen, Theo, 1981. "Common stock repurchases and market signalling : An empirical study," Journal of Financial Economics, Elsevier, vol. 9(2), pages 139-183, June.
- Stoll, Hans R., 2003. "Market microstructure," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 9, pages 553-604 Elsevier.
- David Ikenberry & Josef Lakonishok & Theo Vermaelen, 1994.
"Market Underreaction to Open Market Share Repurchases,"
NBER Working Papers
4965, National Bureau of Economic Research, Inc.
- Ikenberry, David & Lakonishok, Josef & Vermaelen, Theo, 1995. "Market underreaction to open market share repurchases," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 181-208.
- Hans R. Stoll, .
"The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks,"
Rodney L. White Center for Financial Research Working Papers
13-77, Wharton School Rodney L. White Center for Financial Research.
- Stoll, Hans R, 1978. "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Journal of Finance, American Finance Association, vol. 33(4), pages 1153-72, September.
- Miller, James M. & McConnell, John J., 1995. "Open-Market Share Repurchase Programs and Bid-Ask Spreads on the NYSE: Implications for Corporate Payout Policy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 365-382, September.
- Zhang, Hua, 2005. "Share price performance following actual share repurchases," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1887-1901, July.
- Ajai K. Singh & Mir A. Zaman & Chandrasekhar Krishnamurti, 1994. "Liquidity Changes Associated with Open Market Repurchases," Financial Management, Financial Management Association, vol. 23(1), Spring.
- Douglas O. Cook, 2004. "On the Timing and Execution of Open Market Repurchases," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 463-498.
- Brockman, Paul & Chung, Dennis Y., 2001. "Managerial timing and corporate liquidity: *1: evidence from actual share repurchases," Journal of Financial Economics, Elsevier, vol. 61(3), pages 417-448, September.
- Gustavo Grullon & Roni Michaely, 2002. "Dividends, Share Repurchases, and the Substitution Hypothesis," Journal of Finance, American Finance Association, vol. 57(4), pages 1649-1684, 08.
- Dittmar, Amy K, 2000. "Why Do Firms Repurchase Stock?," The Journal of Business, University of Chicago Press, vol. 73(3), pages 331-55, July.
- Douglas O. Cook & Laurie Krigman & J. Chris Leach, 2003. "An Analysis of SEC Guidelines for Executing Open Market Repurchases," The Journal of Business, University of Chicago Press, vol. 76(2), pages 289-316, April.
- Gustavo Grullon & Roni Michaely, 2004. "The Information Content of Share Repurchase Programs," Journal of Finance, American Finance Association, vol. 59(2), pages 651-680, 04.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Stop Buying Dividend Stocks!
by PK in DQYDJ.net on 2012-09-04 14:43:16
- Stop Buying Dividend Stocks!
by PK in DQYDJ.net on 2012-09-04 14:43:16
- Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
- Ben-Rephael, Azi & Oded, Jacob & Wohl, Avi, 2011. "Do firms buy their stock at bargain prices? Evidence from actual stock repurchase disclosure," CFS Working Paper Series 2011/17, Center for Financial Studies (CFS).
- von Eije, Henk & Megginson, William L., 2008. "Dividends and share repurchases in the European Union," Journal of Financial Economics, Elsevier, vol. 89(2), pages 347-374, August.
- Oded, Jacob, 2011. "Stock repurchases: How firms choose between a self tender offer and an open-market program," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3174-3187.
- Edith Ginglinger & Jacques Hamon, 2009.
"Share repurchase regulations: do firms play by the rules?,"
- Ginglinger, Edith & Hamon, Jacques, 2009. "Share repurchase regulations: Do firms play by the rules?," International Review of Law and Economics, Elsevier, vol. 29(2), pages 81-96, June.
- Himmelmann, Achim & Schiereck, Dirk, 2012. "Drug approval decisions: A note on stock liquidity effects," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 640-652.
- Yook, Ken C., 2010. "Long-run stock performance following stock repurchases," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 323-331, August.
- Jiang, Xiaoquan & Zaman, Mir A., 2010. "Aggregate insider trading: Contrarian beliefs or superior information?," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1225-1236, June.
- Oded, Jacob, 2009. "Optimal execution of open-market stock repurchase programs," Journal of Financial Markets, Elsevier, vol. 12(4), pages 832-869, November.
- De Cesari, Amedeo & Espenlaub, Susanne & Khurshed, Arif & Simkovic, Michael, 2012. "The effects of ownership and stock liquidity on the timing of repurchase transactions," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1023-1050.
- Ishikawa, Masaya & Takahashi, Hidetomo, 2011. "Testing the managerial timing ability: Evidence from stock repurchases in Japan," Finance Research Letters, Elsevier, vol. 8(1), pages 21-27, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.