Share repurchase: Does it increase the informativeness of market prices?

Hubert de La Bruslerie

Post-Print from HAL

Abstract: Share repurchases are transactions which are supposed to cause a market reaction through a signaling approach. However looking only at cumulated abnormal returns (CARs) is insufficient and the results are sometimes contradictory. We introduce the concept of informativeness to assess if repurchases improve the private information content of stock prices. Our empirical test comprises American and European buybacks in the period 1990-2011. We use the synchronicity measure introduced by Roll (1988) to follow the change in informativeness before and after the announcement of a transaction. The determinants of informativeness and CARs are also investigated. Our results are negative: Informativeness does not systematically improve, but may sometimes if a change of dividend policy jointly occurs.

Keywords: buybacks; market efficiency; informativeness; Share repurchase (search for similar items in EconPapers)
Date: 2013-06
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00937565v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in 20th Multinational Finance Society Conference, Jun 2013, Ismir, Turkey

Downloads: (external link)
https://shs.hal.science/halshs-00937565v1/document (application/pdf)

Related works:
Working Paper: Share repurchase: Does it increase the informativeness of market prices? (2013)
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:hal:journl:halshs-00937565

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().