Market Reaction To Open Market Share Repurchases On The Johannesburg Stock Exchange Over The Period 2000 To 2007

H P Pienaar and J D Krige

Studies in Economics and Econometrics, 2012, vol. 36, issue 3, 101-122

Abstract: This study examines the market behaviour of South African companies listed on the Johannesburg Stock Exchange (JSE) that have repurchased their own shares on the open market during the period October 2000 to December 2007. Consistent with prior studies on the North American and South African markets, the mean market response around the announcement date (-2 to +2 days) is positive, albeit quite small at 0,94%. The mean market response in the period following the announcement (+3 to +20 days) is negative at -3,95%, which differs from previous studies. The study also finds that the average 36-months buy- and-hold abnormal cumulative return for companies classified as non- resource companies is 26,57%. The largest abnormal returns are observed in small companies; for large companies no positive abnormal returns are observed. Finally, value shares have the largest abnormal returns in most of the company size categories.

Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10800379.2012.12097240 (text/html)
Access to full text is restricted to subscribers.

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:taf:rseexx:v:36:y:2012:i:3:p:101-122

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rsee20

DOI: 10.1080/10800379.2012.12097240

Access Statistics for this article

Studies in Economics and Econometrics is currently edited by Willem Bester

More articles in Studies in Economics and Econometrics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().