What do market participants learn from share repurchases? Evidence from a return decomposition

被引：2
|
作者：
Jakob, Sascha [1 ]
Valta, Philip [1 ,2 ]
机构：
[1] Univ Bern, Bern, Switzerland
[2] Univ Bern, Inst Financial Management, Engehaldenstr 4, CH-3012 Bern, Switzerland
来源：
JOURNAL OF CORPORATE FINANCE | 2023年 / 82卷
基金：
瑞士国家科学基金会;
关键词：
Share repurchases; Return decomposition; Cost of capital; Buyback anomaly; COMMON-STOCK REPURCHASES; INFORMATION-CONTENT; CASH-FLOW; PERSISTENCE; BUYBACK; DIVIDENDS;
D O I：
10.1016/j.jcorpfin.2023.102451
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper analyzes cash flow and cost of capital dynamics around share repurchase announcements of publicly traded US firms by decomposing stock returns into news related to cash flows and discount rates. After repurchase announcements, the cost of capital decreases significantly, while cash flows do not change. The decrease in the cost of capital is largest for firms that appear underpriced. These firms also experience the highest long-term returns after repurchase announcements. The findings suggest that market participants learn about a temporary overestimation of the cost of capital when firms announce share repurchases.
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页数：19
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