REVIEW OF FINANCE · VOL. 18, ISSUE. 4·JULY 2014

公司是否以便宜價格購買其股票？來自股票市場上回購披露的證據

作者：Azi Ben-Rephael（Indiana University - Kelley School of Business - Department of Finance）

Jacob Oded（Tel Aviv University - Faculty of Management）

Avi Wohl（Tel Aviv University - Faculty of Management）

摘要：使用新的月度數據，我們調查了美國公司在公開市場上的回購操作。我們發現公司回購價格顯著低于市場平均價格，且折扣率與規模負相關，與賬面市值比正相關。公司回購行為之後緊跟着顯著為正的異常收益。重要的是，當公司在盈餘公告中披露其實際回購數據時，市場将對此回應，且這一正向市場效應發生一個月的漂移。與以上結果相一緻的是，我們發現内幕交易與實際回購行為正相關。

關鍵詞：股票回購，股利政策，擇時，買賣價差，流動性，内幕交易

Do Firms Buy Their Stock at Bargain Prices? Evidence from Actual Stock Repurchase Disclosures

Azi Ben-Rephael (Indiana University - Kelley School of Business - Department of Finance), Jacob Oded (Tel Aviv University - Faculty of Management), Avi Wohl (Tel Aviv University - Faculty of Management)

ABSTRACT

Using new monthly data, we investigate open-market repurchase executions of US firms. We find that firms repurchase at prices that are significantly lower than average market prices. This price discount is negatively related to size and positively related to market-to-book ratio. Firms’ repurchase activity is followed by a positive and significant abnormal return. Importantly, the market response occurs when firms disclose their actual repurchase data in earnings announcements, and this positive response is followed by a 1-month drift. Consistent with these results, we find that insider trading is positively related to actual repurchases.

Keywords: Stock Repurchases, Payout Policy, Timing, Bid-Ask Spread, Liquidity, Insider Trading

原文鍊接：

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1738922

翻譯：金明