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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)

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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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Publisher Info
Paper provided by HAL in its series Post-Print with number halshs-00136568_v1.

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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_v1

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

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References listed on IDEAS
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.:
  1. 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. [Downloadable!] (restricted)
  2. Vermaelen, Theo, 1981. "Common stock repurchases and market signalling : An empirical study," Journal of Financial Economics, Elsevier, vol. 9(2), pages 139-183, June. [Downloadable!] (restricted)
  3. Dittmar, Amy K, 2000. "Why Do Firms Repurchase Stock?," Journal of Business, University of Chicago Press, vol. 73(3), pages 331-55, July. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
  5. Douglas O. Cook & Laurie Krigman & J. Chris Leach, 2003. "An Analysis of SEC Guidelines for Executing Open Market Repurchases," Journal of Business, University of Chicago Press, vol. 76(2), pages 289-316, April. [Downloadable!]
  6. 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. [Downloadable!] (restricted)
  7. Douglas O. Cook, 2004. "On the Timing and Execution of Open Market Repurchases," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 17(2), pages 463-498. [Downloadable!] (restricted)
  8. 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. [Downloadable!]
  9. 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. [Downloadable!] (restricted)
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  10. Zhang, Hua, 2005. "Share price performance following actual share repurchases," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1887-1901, July. [Downloadable!] (restricted)
  11. Wiggins, James B, 1994. "Open Market Stock Repurchase Programs and Liquidity," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 17(2), pages 217-29, Summer.
  12. 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.
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This page was last updated on 2009-11-28.

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