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Impact des rachats d’actions sur la liquidité et la rentabilité des actions

Editor

Listed:
  • Hamon, Jacques

Author

Listed:
  • Brunel, Alexandre

Abstract

The objective of this thesis is to comprehend the behaviour of firms repurchasing their own shares, listed in Paris stock exchange, and liquidity contractors, by examining the impact of their trades on market liquidity and share return. More specifically, the thesis focuses on three elements relating to i) firms motivations for their own share repurchases, ii) efficiency of liquidity contractors in terms of execution of the objectives assigned to them, iii) taking into account the market liquidity and share return in the decision making process (ex ante) and impact of these decisions on liquidity and return (ex post). The information asymmetry and price support hypotheses are studied in the two first parts of the thesis in order to explain the repurchases. In the third part of the thesis, behaviour of liquidity contractors regarding the impact of their trades on market liquidity is investigated.

Suggested Citation

  • Brunel, Alexandre, 2011. "Impact des rachats d’actions sur la liquidité et la rentabilité des actions," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/6404 edited by Hamon, Jacques, October.
  • Handle: RePEc:dau:thesis:123456789/6404
    Note: dissertation
    as

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    File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/6404/1/These_ABrunel.pdf
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    References listed on IDEAS

    as
    1. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005. "Limit Order Book as a Market for Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1171-1217.
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    3. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    4. Bessembinder, Hendrik, 2003. "Issues in assessing trade execution costs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 233-257, May.
    5. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
    6. Bloomfield, Robert & O'Hara, Maureen & Saar, Gideon, 2005. "The "make or take" decision in an electronic market: Evidence on the evolution of liquidity," Journal of Financial Economics, Elsevier, vol. 75(1), pages 165-199, January.
    7. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-1161, September.
    8. Hollifield, Burton & Miller, Robert A. & Sandås, Patrik & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.
    9. PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," CORE Discussion Papers 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    12. Ron Kaniel & Hong Liu, 2006. "So What Orders Do Informed Traders Use?," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1867-1914, July.
    13. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
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    16. Harris, Lawrence & Hasbrouck, Joel, 1996. "Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(02), pages 213-231, June.
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Opérations d'initié; Dividendes; Actions de sociétés; Rentabilité; Information;

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity

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