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.
