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The impact of open market share repu...

Kim, Jaemin.

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The impact of open market share repurchases on volatility and liquidity: Are open market share repurchase firms making the market for their own shares?

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	The impact of open market share repurchases on volatility and liquidity: Are open market share repurchase firms making the market for their own shares?/
作者:	Kim, Jaemin.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2001,
面頁冊數:	111 p.
附註:	Source: Dissertations Abstracts International, Volume: 63-04, Section: A.
Contained By:	Dissertations Abstracts International63-04A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3013985
ISBN:	9780493243627

The impact of open market share repurchases on volatility and liquidity: Are open market share repurchase firms making the market for their own shares?
Kim, Jaemin.

The impact of open market share repurchases on volatility and liquidity: Are open market share repurchase firms making the market for their own shares? - Ann Arbor : ProQuest Dissertations & Theses, 2001 - 111 p.

Source: Dissertations Abstracts International, Volume: 63-04, Section: A.

Thesis (Ph.D.)--University of Washington, 2001.

This item must not be sold to any third party vendors.

I examine the effects of open market share repurchases on return volatility and share liquidity. With regard to volatility, daily return standard deviations and CAPM betas decrease significantly. These volatility declines are robust and are not the results of volatility mean reversion. I find evidence that repurchase firms have a tendency to engage in buyback trading more actively when the repurchase managers believe the prices are in the lower tail of the future price distribution, and that this tendency reduces standard deviation and increases skewness of the daily return distribution. The evidence also suggests that it is the actual buyback trading activity of a repurchase firm, not the announcement itself, that is significantly associated with the decrease in daily return standard deviation. Just as lead underwriters support poorly performing new issues most often by repurchasing the shares of those new issues, open market share repurchase firms repurchase their own shares when managers believe the share prices are in the lower tail of the price distribution. With regard to liquidity, I do not find any convincing evidence that suggests either a liquidity increase or a liquidity decrease associated with open market share repurchases. In particular, in terms of cross sectional variations of liquidity effects, I do not document any meaningful pattern across firms with differing degrees of information asymmetry.

ISBN: 9780493243627Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Liquidity

The impact of open market share repurchases on volatility and liquidity: Are open market share repurchase firms making the market for their own shares?
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520 $a I examine the effects of open market share repurchases on return volatility and share liquidity. With regard to volatility, daily return standard deviations and CAPM betas decrease significantly. These volatility declines are robust and are not the results of volatility mean reversion. I find evidence that repurchase firms have a tendency to engage in buyback trading more actively when the repurchase managers believe the prices are in the lower tail of the future price distribution, and that this tendency reduces standard deviation and increases skewness of the daily return distribution. The evidence also suggests that it is the actual buyback trading activity of a repurchase firm, not the announcement itself, that is significantly associated with the decrease in daily return standard deviation. Just as lead underwriters support poorly performing new issues most often by repurchasing the shares of those new issues, open market share repurchase firms repurchase their own shares when managers believe the share prices are in the lower tail of the price distribution. With regard to liquidity, I do not find any convincing evidence that suggests either a liquidity increase or a liquidity decrease associated with open market share repurchases. In particular, in terms of cross sectional variations of liquidity effects, I do not document any meaningful pattern across firms with differing degrees of information asymmetry.
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