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Actual share repurchases, timing and liquidity

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Author Info

  • Edith Ginglinger

    ()
    (DRM - Dauphine Recherches en Management - CNRS : UMR7088 - Université Paris Dauphine - Paris IX)

  • Jacques Hamon

    ()
    (DRM - Dauphine Recherches en Management - CNRS : UMR7088 - Université Paris Dauphine - Paris IX)

Abstract

Research 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.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/13/65/68/PDF/repurchase2006.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00136568.

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Date of creation: 2007
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Publication status: Published, Journal of Banking & Finance, 2007, 31, 3, 915-938
Handle: RePEc:hal:journl:halshs-00136568

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00136568/en/
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Keywords: Repurchase; Timing; Liquidity; Euronext Paris;

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References

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  1. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 107(6), pages 1218-1248, December.
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  6. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-78.
  7. Douglas O. Cook, 2004. "On the Timing and Execution of Open Market Repurchases," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 17(2), pages 463-498.
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  15. 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.
  16. Clifford P. Stephens & Michael S. Weisbach, 1998. "Actual Share Reacquisitions in Open-Market Repurchase Programs," Journal of Finance, American Finance Association, American Finance Association, vol. 53(1), pages 313-333, 02.
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  18. Stoll, Hans R., 2003. "Market microstructure," Handbook of the Economics of Finance, Elsevier, 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.
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Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Stop Buying Dividend Stocks!
    by PK in DQYDJ.net on 2012-09-04 14:43:16
  2. Stop Buying Dividend Stocks!
    by PK in DQYDJ.net on 2012-09-04 14:43:16
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Cited by:
  1. Edith Ginglinger & Jacques Hamon, 2009. "Share repurchase regulations: do firms play by the rules?," Post-Print, HAL halshs-00143974, HAL.
  2. Ishikawa, Masaya & Takahashi, Hidetomo, 2011. "Testing the managerial timing ability: Evidence from stock repurchases in Japan," Finance Research Letters, Elsevier, Elsevier, vol. 8(1), pages 21-27, March.
  3. Jiang, Xiaoquan & Zaman, Mir A., 2010. "Aggregate insider trading: Contrarian beliefs or superior information?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(6), pages 1225-1236, June.
  4. Oded, Jacob, 2009. "Optimal execution of open-market stock repurchase programs," Journal of Financial Markets, Elsevier, Elsevier, vol. 12(4), pages 832-869, November.
  5. von Eije, Henk & Megginson, William L., 2008. "Dividends and share repurchases in the European Union," Journal of Financial Economics, Elsevier, Elsevier, vol. 89(2), pages 347-374, August.
  6. 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).
  7. Yook, Ken C., 2010. "Long-run stock performance following stock repurchases," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(3), pages 323-331, August.
  8. Agarwalla, Sobhesh Kumar & Jacob, Joshy & Vasudevan, Ellapulli, . "Market Timing Ability of Indian Firms in Open Market Repurchases," IIMA Working Papers WP2013-11-10, Indian Institute of Management Ahmedabad, Research and Publication Department.
  9. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(4), pages 627-639, April.
  10. Himmelmann, Achim & Schiereck, Dirk, 2012. "Drug approval decisions: A note on stock liquidity effects," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 640-652.
  11. 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, Elsevier, vol. 18(5), pages 1023-1050.
  12. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Do prices reveal the presence of informed trading?," NBER Working Papers 18452, National Bureau of Economic Research, Inc.
  13. Oded, Jacob, 2011. "Stock repurchases: How firms choose between a self tender offer and an open-market program," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(12), pages 3174-3187.
  14. Andriosopoulos, Dimitris & Hoque, Hafiz, 2013. "The determinants of share repurchases in Europe," International Review of Financial Analysis, Elsevier, Elsevier, vol. 27(C), pages 65-76.
  15. Foued Hamouda & Mounira Ben Arab, 2013. "Board of directors and insider trading with share repurchase programs," Journal of Management and Governance, Springer, Springer, vol. 17(2), pages 405-418, May.
  16. Andriosopoulos, Dimitris & Andriosopoulos, Kostas & Hoque, Hafiz, 2013. "Information disclosure, CEO overconfidence, and share buyback completion rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 5486-5499.

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