Firms as buyers of last resort

• 成果类型: Article
• 署名作者: Hong, Harrison; Wang, Jiang; Yu, Jialin
• 署名单位: Princeton University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Columbia University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.04.004
• 发表日期: 2008
• 页码: 119-145
• 关键词: repurchase; Financing constraint; return variance; Return skewness; liquidity

摘要

We develop a model to explore the asset pricing implications of firms being buyers of last resort for their own stocks. Those with more ability to repurchase shares when prices drop far below fundamental value (i.e., less financially constrained firms) should have lower short-horizon return variances (controlling for fundamental variance) than other firms. Using standard proxies for financing constraints such as past repurchases and firm age, we find strong Support for this predicted relation. We also find that this relation is stronger in the U.S. after 1982 when regulatory reforms lowered the legal cost of conducting repurchases as well as in countries where share repurchases are legally easier to execute. (C) 2008 Elsevier B.V. All rights reserved.