Information trading around open market share repurchases: evidence from the Taiwan Stock Exchange

被引：0
|
作者：
Chou, Robin K. [3 ]
Yu, Yi-Min [1 ,2 ]
机构：
[1] Natl Cent Univ, Sch Management, Dept Finance, Hsinchu 300, Taiwan
[2] Hsuan Chuang Univ, Sch Management, Dept Finance, Hsinchu 300, Taiwan
[3] Natl Chengchi Univ, Coll Commerce, Dept Finance, Taipei 11623, Taiwan
来源：
APPLIED ECONOMICS LETTERS | 2011年 / 18卷 / 10-12期
关键词：
BID-ASK SPREAD; TENDER OFFERS; MICROSTRUCTURE; LIQUIDITY; DIVIDENDS; AUCTION; VOLUME; POLICY; COSTS; EX;
D O I：
10.1080/13504851.2010.520662
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine the information trading around open market share repurchases on the Taiwan Stock Exchange (TSE). Because of the distinctive regulations of share repurchases in Taiwan, our samples offer a unique opportunity to test changes in information trading during share repurchases. We show that the risk of information trading significantly increases during the repurchase execution period and reverts back in the post-expiration period. It is likely that some uninformed traders leave the market in the execution period, in anticipation of higher information uncertainties. Therefore, the remaining uninformed traders collectively face higher possibility of trading with informed traders.
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页码：973 / 981
页数：9
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