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

公司是否以便宜价格购买其股票？来自股票市场上回购披露的证据

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：使用新的月度数据，我们调查了美国公司在公开市场上的回购操作。我们发现公司回购价格显著低于市场平均价格，且折扣率与规模负相关，与账面市值比正相关。公司回购行为之后紧跟着显著为正的异常收益。重要的是，当公司在盈余公告中披露其实际回购数据时，市场将对此回应，且这一正向市场效应发生一个月的漂移。与以上结果相一致的是，我们发现内幕交易与实际回购行为正相关。

关键词：股票回购，股利政策，择时，买卖价差，流动性，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

原文链接：

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

翻译：金明