TRADING PROFITS IN DUTCH AUCTION SELF-TENDER OFFERS

• 成果类型: Article
• 署名作者: KADAPAKKAM, PR; SETH, S
• 署名单位: University of Michigan System; University of Michigan; University of Houston System; University of Houston
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329146
• 发表日期: 1994
• 页码: 291-306
• 关键词: Repurchases

摘要

We document abnormal trading profits in Dutch auction self-tenders. Tender period profits-buying after announcement and selling just before expiration-are 1.74 percent (Bhagat, Brickley, and Lowenstein (1987) report similar profits for interfirm tenders). Buying just before expiration and tendering yields abnormal profits of 1.36 percent (Lakonishok and Vermaelen (1990) report 9 percent for fixed-price self-tenders using a filter rule). Total profits from buying just after announcement and tendering remain positive after adjusting for bid-ask spreads. Trading profits are higher for smaller firms, and positively correlated with tender period unsystematic risk, suggesting that they arise due to the pricing of event risk.