Stock repurchases and liquidity

被引：42

作者：

Hillert, Alexander ^{[1
]}

Maug, Ernst ^{[1
]}

Obernberger, Stefan ^{[2
]}

机构：

[1] Univ Mannheim, D-68131 Mannheim, Germany

[2] Erasmus Univ, NL-3000 DR Rotterdam, Netherlands

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2016年 / 119卷 / 01期

关键词：

Share repurchases; Market microstructure; Liquidity; Limit order markets; Informed trading; SHARE REPURCHASE; HEDGE FUNDS; PAYOUT POLICY; CROSS-SECTION; MARKET; FIRMS; EXECUTION; EVOLUTION; PROGRAMS; DECISION;

D O I：

10.1016/j.jfineco.2015.08.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the impact of share repurchases on liquidity based on a new comprehensive data set of realized share repurchases in the US, which covers 50,204 repurchase months between 2004 and 2010. Using instrumental variable analysis, we show that repurchases unequivocally improve liquidity and suggest that endogenous controls have confounded results in earlier studies. Liquidity also influences how firms execute repurchase programs. Repurchases provide liquidity when other investors sell the firm's stock or in times of crisis. No evidence exists that firms reduce liquidity when they trade on private information. (C) 2015 Published by Elsevier B.V.

引用

页码：186 / 209

页数：24

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