MARKET UNDERREACTION TO OPEN MARKET SHARE REPURCHASES

• 成果类型: Article; Proceedings Paper
• 署名作者: IKENBERRY, D; LAKONISHOK, J; VERMAELEN, T
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; Rice University; INSEAD Business School; Maastricht University; Hasselt University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00826-Z
• 发表日期: 1995
• 页码: 181-208
• 关键词: STOCK REPURCHASE

摘要

We examine long-run firm performance following open market share repurchase announcements, 1980-1990. We find that the average abnormal four-year buy-and-hold return measured after the initial announcement is 12.1%. For 'value' stocks, companies more likely to be repurchasing shares because of undervaluation, the average abnormal return is 45.3%. For repurchases announced by 'glamour' stocks, where undervaluation is less likely to be an important motive, no positive drift in abnormal returns is observed. Thus, at least with respect to value stocks, the market errs in its initial response and appears to ignore much of the information conveyed through repurchase announcements.