How do different firms perform while trading own stock? A granular analysis on specific characteristics and market conditions

Dinis Santos () and Paulo M. Gama ()
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Dinis Santos: Faculty of Economics, University of Coimbra
Paulo M. Gama: CeBER & Faculty of Economics, University of Coimbra

International Journal of Economic Sciences, 2020, vol. 9, issue 2, 71-93

Abstract: Which firms are more likely to time the market? This paper uses a relative transaction price approach, focusing on 37997 own stock transactions from Euronext Lisbon listed firms, ranging from 2005 to 2015, to estimate the relationship between the market timing ability of firms and a set of firm specific characteristics. Results show that smaller, more efficient but less valuable companies are more likely to be successful to time the market. Furthermore, we show that a shifting event such as a country bailout can lead to an increased performance from firms when trading own stock. Additionally, we find proof that OTC trading can be linked to lower market timing capabilities. At last, and due to the considerable weight of the financial sector within our sample, we estimated isolated results, which prove that the higher the relative performance of a firm when compared to its share value, the higher the capabilities of a financial sector firm to time the market when repurchasing own stock.

Keywords: Repurchase; Resale; Own Stock; Opportunistic Behaviour; Market Timing; Own Stock Transaction Performance (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sek:jijoes:v:9:y:2020:i:2:p:71-93

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