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

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Date
2013-04
Dewey
Economie financière
Sujet
Share repurchase; buybacks; market efficiency; informativeness
JEL code
G.G1.G14; G.G3.G30; G.G3.G35
Conference name
30th International French Finance Association Conference
Conference date
05-2013
Conference city
Lyon
Conference country
France
URI
https://basepub.dauphine.fr/handle/123456789/11381
Collections
  • DRM : Publications
Metadata
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Author
de La Bruslerie, Hubert
1032 Dauphine Recherches en Management [DRM]
Type
Communication / Conférence
Item number of pages
29
Abstract (EN)
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.

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