EconPapers    
Economics at your fingertips  
 

Volatility and the buyback anomaly

Theodoros Evgeniou, Enric Junqué de Fortuny, Nick Nassuphis and Theo Vermaelen

Journal of Corporate Finance, 2018, vol. 49, issue C, 32-53

Abstract: The buyback anomaly survives when using the five factor Fama and French (2015) and the four factor Stambaugh and Yuan (2017) models: buyback announcements are followed by positive long-term excess returns that are positively related to (idiosyncratic) volatility, inconsistent with the low volatility anomaly. The results are consistent with the costly arbitrage hypothesis (Stambaugh et al., 2015) as well as with the market timing hypothesis: the option to take advantage of undervalued stock is more valuable when firm value is more uncertain or is more driven by company-specific information. Combining volatility with undervaluation indicators proposed by Peyer and Vermaelen (2009) improves the predictability of excess returns after buyback announcements.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0929119917307022
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:corfin:v:49:y:2018:i:c:p:32-53

Access Statistics for this article

Journal of Corporate Finance is currently edited by A. Poulsen and J. Netter

More articles in Journal of Corporate Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-10-12
Handle: RePEc:eee:corfin:v:49:y:2018:i:c:p:32-53