Managerial timing and corporate liquidity: evidence from actual share repurchases

• 成果类型: Article
• 署名作者: Brockman, P; Chung, DY
• 署名单位: Hong Kong Polytechnic University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00068-X
• 发表日期: 2001
• 页码: 417-448
• 关键词: repurchase; liquidity; TIMING ABILITY; Stock Exchange of Hong Kong

摘要

We investigate the timing of open market share repurchases and the resultant impact on firm liquidity. Using the Stock Exchange of Hong Kong's unique disclosure environment, we identify the exact implementation dates for more than five thousand equity buybacks. We find that managers exhibit substantial timing ability. Consistent with the information-asymmetry hypothesis, bid-ask spreads widen and depths narrow during repurchase periods. We decompose bid-ask spreads and show that adverse selection costs increase substantially as market participants respond to the presence of informed managerial trading. Our findings provide additional insight into how markets process information and have significant implications for corporate payout and disclosure policies. (C) 2001 Elsevier Science S.A. All rights reserved.