Stock Repurchases and Market Liquidity


Hillert, Alexander ; Maug, Ernst ; Obernberger, Stefan



URL: http://www.rsm.nl/fileadmin/home/Department_of_Fin...
Document Type: Working paper
Year of publication: 2013
Place of publication: Mannheim
Publication language: English
Institution: Business School > ABWL u. Corporate Finance (Maug)
Business School > Internat. Finanzierung (Ruenzi)
Subject: 330 Economics
Abstract: We analyze the two-way relationship between share repurchases and liquidity based on a newly available data set of realized share repurchases in the US, which covers 50,204 repurchase months between 2004 and 2010. Repurchases unequivocally improve liquidity according to any of five liquidity measures we investigate. Firms also adapt their buyback programs by reducing repurchase activity when the market for their stock is less liquid. Comparing instrumental variable and OLS estimates indicates biases from unobservable common factors. Our findings do not support the hypothesis that repurchases based on firms' privileged information reduce liquidity because of adverse selection.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Hillert, Alexander ; Maug, Ernst ; Obernberger, Stefan (2013) Stock Repurchases and Market Liquidity. Mannheim [Working paper]


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