On the timing and execution of open market repurchases

• 成果类型: Article
• 署名作者: Cook, DO; Krigman, L; Leach, JC
• 署名单位: Babson College; University of Mississippi; University of Colorado System; University of Colorado Boulder
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg028
• 发表日期: 2004
• 页码: 463
• 关键词: CORPORATE PAYOUT POLICY; Bid-ask spreads; STOCK REPURCHASES; SHARE REPURCHASES; returns; performance; liquidity; Dividends; PROGRAMS; volume

摘要

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. 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 and attenuating the price impact of order imbalances on days when repurchase trades are completed.