Stock repurchases and liquidity

• 成果类型: Article
• 署名作者: Hillert, Alexander; Maug, Ernst; Obernberger, Stefan
• 署名单位: University of Mannheim; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.08.009
• 发表日期: 2016
• 页码: 186-209
• 关键词: SHARE REPURCHASES; Market microstructure; liquidity; Limit order markets; Informed trading

摘要

We analyze the impact of share repurchases on liquidity based on a new comprehensive data set of realized share repurchases in the US, which covers 50,204 repurchase months between 2004 and 2010. Using instrumental variable analysis, we show that repurchases unequivocally improve liquidity and suggest that endogenous controls have confounded results in earlier studies. Liquidity also influences how firms execute repurchase programs. Repurchases provide liquidity when other investors sell the firm's stock or in times of crisis. No evidence exists that firms reduce liquidity when they trade on private information. (C) 2015 Published by Elsevier B.V.