Liquidity Effects Timing And Reasons For Open Market Share Repurchases PDF Download
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Author | : |
Publisher | : |
Total Pages | : 176 |
Release | : 2004 |
Genre | : Stock repurchases |
ISBN | : 9789524760713 |
Download Liquidity Effects, Timing and Reasons for Open-market Share Repurchases Book in PDF, ePub and Kindle
Author | : Jonas Råsbrant |
Publisher | : |
Total Pages | : 28 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download The Liquidity Impact of Open Market Share Repurchases Book in PDF, ePub and Kindle
We examine the market liquidity impact of open market share repurchases in a computerized order driven market. Using a detailed dataset of daily repurchase transactions on the Stockholm Stock Exchange together with intraday data on bid-ask spreads and order depths enable us to examine liquidity effects on the actual repurchase days. Overall, we find that repurchase trades inside the order driven trading system contributes to market liquidity through narrower bid-ask spreads and deeper market depths. After controlling for total trading volume, price, and volatility we still find a significant decrease of the bid-ask spread on repurchase days relative to surrounding non-repurchase days. However, repurchases executed as block trades outside the order driven trading system have a detrimental effect on the bid-ask spread, consistent with a negative response to the presence of informed managerial trading.
Author | : Paul Brockman |
Publisher | : |
Total Pages | : |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Managerial Timing and Corporate Liquidity Book in PDF, ePub and Kindle
The purpose of this paper is to investigate the timing of open market share repurchases and its resultant impact on corporate liquidity. We identify the exact implementation dates for over 5,000 equity buybacks on the Stock Exchange of Hong Kong between November 1991 and August 1999. A bootstrapping method is used to distinguish managerial timing ability from a naive accumulation plan. The results show that managers exhibit substantial timing ability. Consistent with the information-asymmetry hypothesis (Barclay and Smith (1988 Journal of Financial Economics 22, 61-82)), we find strong evidence that bid-ask spreads widen and depths narrow during repurchase periods. We further decompose bid-ask spreads and show that the adverse selection component increases substantially when market participants respond to the presence of informed managerial trading. Overall, our market timing, spread and depth, and decomposition results reveal a coherent picture of managerial buyback behavior and its impact on firm liquidity. Our results have significant implications for corporate payout and disclosure policies.
Author | : Jaemin Kim |
Publisher | : |
Total Pages | : 222 |
Release | : 2001 |
Genre | : Stock repurchasing |
ISBN | : |
Download The Impact of Open Market Share Repurchases on Volatility and Liquidity Book in PDF, ePub and Kindle
Author | : Edith Ginglinger |
Publisher | : |
Total Pages | : 39 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Actual Share Repurchases, Timing and Corporate Liquidity Book in PDF, ePub and Kindle
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.
Author | : Edith Ginglinger |
Publisher | : |
Total Pages | : 26 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Actual Share Repurchases, Timing and Liquidity Book in PDF, ePub and Kindle
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.
Author | : Stefan Obernberger |
Publisher | : |
Total Pages | : 165 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download An Analysis of Open Market Share Repurchases Book in PDF, ePub and Kindle
Author | : Laurie Krigman |
Publisher | : |
Total Pages | : 47 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download On the Timing and Execution of Open Market Repurchases Book in PDF, ePub and Kindle
Little is known about the timing and execution of open market repurchases. U.S. firms are under no obligation to disclose when they are trading, and generally report only quarterly changes in shares outstanding. We use 64 firms' supplementally disclosed repurchase trading data to provide the first examination of repurchase timing and execution. Across the days reported in our sample, firms adopted a variety of execution styles ranging from immediate intense repurchasing to delayed and smoothed repurchasing. We find no clear evidence that repurchases are timed to coincide with, precede, or follow, days on which information is released. Within a given repurchase day, we find u-shaped repurchase patterns for NYSE firms and end-of-day repurchasing tendencies for Nasdaq firms. We benchmark the costs and value of a given repurchase program against naive accumulation strategies achieving the same terminal portfolio. While there is considerable variation across the firms, NYSE firms on average beat their benchmarks whereas Nasdaq firms do not. Finally, we document the liquidity impact of open market repurchases. We find that repurchasing contributes to market liquidity by narrowing bid-ask spreads on days when repurchase trades are completed.
Author | : Edith Ginglinger |
Publisher | : |
Total Pages | : 39 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Actual Share Repurchase and Corporate Liquidity Book in PDF, ePub and Kindle
Research into 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 U.S. Using a previously unaccessed database containing detailed information on 36,848 repurchase days concerning 352 French firms, we show that corporate share repurchases have a significantly adverse effect on the liquidity of the trading day concerned, whether measured by bid-ask spread or depth. Our results also indicate that although on average managers have some timing ability, only the smallest firms listed on the least liquid market segments successfully take advantage of it.
Author | : Edith Ginglinger |
Publisher | : |
Total Pages | : 39 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Actual Share Repurchases and Corporate Liquidity Book in PDF, ePub and Kindle
Research into 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 U.S. Using a previously unaccessed database containing detailed information on 36,848 repurchase days concerning 352 French firms, we show that corporate share repurchases have a significantly adverse effect on the liquidity of the trading day concerned, whether measured by bid-ask spread or depth. Our results also indicate that although on average managers have some timing ability, only the smallest firms listed on the least liquid market segments successfully take advantage of it.