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Market Reaction To Open Market Share Repurchases On The Johannesburg Stock Exchange Over The Period 2000 To 2007

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  • H P Pienaar
  • J D Krige

Abstract

This study examines the market behaviour of South African companies listed on the Johannesburg Stock Exchange (JSE) that have repurchased their own shares on the open market during the period October 2000 to December 2007. Consistent with prior studies on the North American and South African markets, the mean market response around the announcement date (-2 to +2 days) is positive, albeit quite small at 0,94%. The mean market response in the period following the announcement (+3 to +20 days) is negative at -3,95%, which differs from previous studies. The study also finds that the average 36-months buy- and-hold abnormal cumulative return for companies classified as non- resource companies is 26,57%. The largest abnormal returns are observed in small companies; for large companies no positive abnormal returns are observed. Finally, value shares have the largest abnormal returns in most of the company size categories.

Suggested Citation

  • H P Pienaar & J D Krige, 2012. "Market Reaction To Open Market Share Repurchases On The Johannesburg Stock Exchange Over The Period 2000 To 2007," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 36(3), pages 101-122, December.
    • Handle: RePEc:taf:rseexx:v:36:y:2012:i:3:p:101-122
    DOI: 10.1080/10800379.2012.12097240
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