MARKET MICRSOTRUCTURE CHANGES AROUND ACCELERATED SHARE REPURCHASE ANNOUNCEMENTS
I investigate the impact on trading characteristics of firms announcing share repurchases using a relatively new buyback method—accelerated share repurchases (ASRs). I find that trading costs decrease and market quality improves following an ASR announcement. The improvement in liquidity is not acco...
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| Published in | The Journal of financial research Vol. 36; no. 1; pp. 91 - 114 |
|---|---|
| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
Columbia
Blackwell Publishing Ltd
2013
Blackwell Publishing Wiley Subscription Services, Inc |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0270-2592 1475-6803 |
| DOI | 10.1111/j.1475-6803.2013.12004.x |
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| Abstract | I investigate the impact on trading characteristics of firms announcing share repurchases using a relatively new buyback method—accelerated share repurchases (ASRs). I find that trading costs decrease and market quality improves following an ASR announcement. The improvement in liquidity is not accompanied by significant changes in information asymmetry or price volatility. Multivariate tests show that the change in volatility and the presence of price constraints in the ASR agreement are significant in explaining the changes in spreads, but the reasons given by firms for conducting the ASRs are not. Thus, in the case of ASRs, the announced involvement of an investment bank buying shares on behalf of the firm improves liquidity without significantly affecting the level of information asymmetry. |
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| AbstractList | I investigate the impact on trading characteristics of firms announcing share repurchases using a relatively new buyback method—accelerated share repurchases (ASRs). I find that trading costs decrease and market quality improves following an ASR announcement. The improvement in liquidity is not accompanied by significant changes in information asymmetry or price volatility. Multivariate tests show that the change in volatility and the presence of price constraints in the ASR agreement are significant in explaining the changes in spreads, but the reasons given by firms for conducting the ASRs are not. Thus, in the case of ASRs, the announced involvement of an investment bank buying shares on behalf of the firm improves liquidity without significantly affecting the level of information asymmetry. I investigate the impact on trading characteristics of firms announcing share repurchases using a relatively new buyback method - accelerated share repurchases (ASRs). I find that trading costs decrease and market quality improves following an ASR announcement. The improvement in liquidity is not accompanied by significant changes in information asymmetry or price volatility. Multivariate tests show that the change in volatility and the presence of price constraints in the ASR agreement are significant in explaining the changes in spreads, but the reasons given by firms for conducting the ASRs are not. Thus, in the case of ASRs, the announced involvement of an investment bank buying shares on behalf of the firm improves liquidity without significantly affecting the level of information asymmetry. [PUBLICATION ABSTRACT] |
| Author | Kulchania, Manoj |
| Author_xml | – sequence: 1 givenname: Manoj surname: Kulchania fullname: Kulchania, Manoj organization: Marquette University |
| BackLink | http://www.econis.eu/PPNSET?PPN=75219643X$$DView this record in ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften |
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| Cites_doi | 10.1093/rfs/8.4.1153 10.2469/faj.v66.n6.4 10.2307/2331346 10.1016/j.jfineco.2011.02.004 10.1016/j.jfineco.2008.03.006 10.2139/ssrn.1252922 10.1016/S0304-405X(02)00136-8 10.1016/0304-405X(87)90029-8 10.1111/j.1540-6261.1996.tb04074.x 10.1016/j.jfineco.2004.02.003 10.2307/3666055 10.1016/j.jbankfin.2006.07.006 10.1093/rfs/10.4.995 10.1016/S0304-405X(01)00068-X 10.2139/ssrn.251938 10.1111/j.1475-6803.2011.01299.x 10.1016/0304-405X(85)90044-3 10.1016/S1386-4181(00)00002-1 10.1111/0022-1082.115194 10.1016/S0378-4266(00)00084-4 10.2307/1882244 10.1016/j.jfineco.2004.07.004 10.2139/ssrn.1570842 10.1111/j.1540-6261.1991.tb02683.x 10.1111/j.1475-6803.1994.tb00187.x 10.2139/ssrn.1346624 10.1016/0304-405X(88)90034-7 10.1016/0304-405X(88)90022-0 10.1111/j.1540-6261.1993.tb04028.x 10.1093/rfs/hhg028 |
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| Copyright | 2013 The Southern Finance Association and the Southwestern Finance Association |
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| Notes | ArticleID:JFIR12004 istex:4267ACA23D3120D4A019DFF6C4DD5ED6DCFB3F4C ark:/67375/WNG-61ZKJZ4H-K I thank Leonce Bargeron, Marcus Braga-Alves, Paul Brockman (the referee), Vidhan Goyal, Ahmet Kurt, Ken Lehn, Marios Panayides, Kuldeep Shastri, Shawn Thomas, Chad Zutter, and seminar participants at Marquette University and the University of Pittsburgh for helpful comments and suggestions. Any errors remain my own. SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 14 |
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| References | Ginglinger, E., and J. Hamon, 2007, Actual share repurchases, timing and corporate liquidity, Journal of Banking and Finance 31, 915-38. Chordia, T., R. Roll, and A. Subrahmanyam, 2002, Order imbalance, liquidity, and market returns, Journal of Financial Economics 65, 111-30. Cook, D., L. Krigman, and C. Leach, 2004, On the timing and execution of open market repurchases, Review of Financial Studies 14, 463-98. Brav, A., J. Graham, C. Harvey, and R. Michaely, 2005, Payout policy in the 21st century, Journal of Financial Economics 77, 483-527. Lin, J., G. Sanger, and G. Booth, 1995, Trade size and components of the bid-ask spread, Review of Financial Studies 8, 1153-83. McNally, W. J., and B. F. Smith, 2011, A microstructure analysis of the liquidity impact of open market repurchases, Journal of Financial Research 34, 481-501. Barclay, M., and C. Smith, 1988, Corporate payout policy: Cash dividends versus open-market repurchases, Journal of Financial Economics 22, 61-82. Ahn, J., C. Cao, and H. Choe, 2001, Share repurchase tender offers and bid-ask spreads, Journal of Banking and Finance 25, 445-78. Michel, A., J. Oded, and I. Shaked, 2010, Not all buybacks are created equal: The case of accelerated stock repurchases, Financial Analysts Journal 66, 55-72. Peyer, U., and T. Vermaelen, 2005, The many facets of privately negotiated stock repurchases, Journal of Financial Economics 75, 361-95. Demsetz, H., 1968. The cost of transacting, Quarterly Journal of Economics 82, 33-53. Simkovic, M., 2009, The effect of mandatory disclosure on open-market stock repurchases, Berkeley Business Law Journal 6, 96-130. Bargeron, L., M. Kulchania, and S. Thomas, 2011, Accelerated share repurchase, Journal of Financial Economics 101, 69-89. Huang, R. D., and H. Stoll, 1997, The components of the bid-ask spread: A general approach, Review of Financial Studies 10, 995-1034. Lee, C., 1993, Market integration and price execution for NYSE-listed securities, Journal of Finance 48, 1009-38. Easley, D., N. Kiefer, M. O'Hara, and J. Paperman, 1996, Liquidity, information and infrequently traded stocks, Journal of Finance 51, 1405-36. Miller, J., and J. McConnell, 1995, Open-market share repurchase programs and bid-ask spreads on the NYSE: Implications for corporate payout policy, Journal of Financial and Quantitative Analysis 30, 365-82. Easley, D., and M. O'Hara, M., 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69-90. Stephens, C. P., and M. Weisbach, 1998, Actual share reacquisitions in open market repurchase programs, Journal of Finance 53, 313-34. Glosten, L., and P. Milgrom, 1985, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 13, 71-100. Lee, C., and M. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733-46. Wiggins, J., 1994, Open market stock repurchase programs and liquidity, Journal of Financial Research 17, 217-29. Lee, C., and B. Radhakrishnan, 2000, Inferring investor behavior: Evidence from TORQ data. Journal of Financial Markets 3, 83-111. Campbell, J. Y., T. Ramadorai, and A. Schwartz, 2009, Caught on tape: Institutional trading, stock returns, and earnings announcements, Journal of Financial Economics 92, 66-91. Singh, A., M. Zaman, and C. Krishnamurti, 1994, Liquidity changes associated with open market repurchases, Financial Management 23, 47-55. Brockman, P., and D. Chung, 2001, Managerial timing and corporate liquidity: Evidence from actual share repurchases, Journal of Financial Economics 61, 417-48. Glosten, L., and L. Harris, 1988, Estimating the components of the bid/ask spread, Journal of Financial Economics 21, 123-42. 1993; 48 1995; 30 2010 2000; 3 2009 1994; 23 2006 1996; 51 2011; 34 2003 2007; 31 1987; 19 2001; 25 1968; 82 1995; 8 2010; 66 2001; 61 2009; 92 2001 1997; 10 1991; 46 2004; 14 2002; 65 1988; 21 1988; 22 2005; 75 2009; 6 1994; 17 1998; 53 2011; 101 2005; 77 1985; 13 e_1_2_7_6_1 e_1_2_7_5_1 e_1_2_7_3_1 e_1_2_7_9_1 e_1_2_7_8_1 e_1_2_7_7_1 e_1_2_7_19_1 e_1_2_7_18_1 e_1_2_7_17_1 e_1_2_7_16_1 e_1_2_7_2_1 e_1_2_7_15_1 e_1_2_7_14_1 e_1_2_7_13_1 e_1_2_7_12_1 e_1_2_7_11_1 Simkovic M. (e_1_2_7_31_1) 2009; 6 e_1_2_7_10_1 e_1_2_7_26_1 e_1_2_7_27_1 e_1_2_7_28_1 e_1_2_7_29_1 Allen F. (e_1_2_7_4_1) 2003 e_1_2_7_30_1 e_1_2_7_25_1 e_1_2_7_24_1 e_1_2_7_32_1 e_1_2_7_23_1 e_1_2_7_33_1 e_1_2_7_22_1 e_1_2_7_34_1 e_1_2_7_21_1 e_1_2_7_20_1 |
| References_xml | – reference: Stephens, C. P., and M. Weisbach, 1998, Actual share reacquisitions in open market repurchase programs, Journal of Finance 53, 313-34. – reference: Glosten, L., and L. Harris, 1988, Estimating the components of the bid/ask spread, Journal of Financial Economics 21, 123-42. – reference: Barclay, M., and C. Smith, 1988, Corporate payout policy: Cash dividends versus open-market repurchases, Journal of Financial Economics 22, 61-82. – reference: Singh, A., M. Zaman, and C. Krishnamurti, 1994, Liquidity changes associated with open market repurchases, Financial Management 23, 47-55. – reference: Cook, D., L. Krigman, and C. Leach, 2004, On the timing and execution of open market repurchases, Review of Financial Studies 14, 463-98. – reference: Lee, C., 1993, Market integration and price execution for NYSE-listed securities, Journal of Finance 48, 1009-38. – reference: Lin, J., G. Sanger, and G. Booth, 1995, Trade size and components of the bid-ask spread, Review of Financial Studies 8, 1153-83. – reference: Miller, J., and J. McConnell, 1995, Open-market share repurchase programs and bid-ask spreads on the NYSE: Implications for corporate payout policy, Journal of Financial and Quantitative Analysis 30, 365-82. – reference: Lee, C., and M. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733-46. – reference: Glosten, L., and P. Milgrom, 1985, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 13, 71-100. – reference: Chordia, T., R. Roll, and A. Subrahmanyam, 2002, Order imbalance, liquidity, and market returns, Journal of Financial Economics 65, 111-30. – reference: Easley, D., and M. O'Hara, M., 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69-90. – reference: Campbell, J. Y., T. Ramadorai, and A. Schwartz, 2009, Caught on tape: Institutional trading, stock returns, and earnings announcements, Journal of Financial Economics 92, 66-91. – reference: Ahn, J., C. Cao, and H. Choe, 2001, Share repurchase tender offers and bid-ask spreads, Journal of Banking and Finance 25, 445-78. – reference: Michel, A., J. Oded, and I. Shaked, 2010, Not all buybacks are created equal: The case of accelerated stock repurchases, Financial Analysts Journal 66, 55-72. – reference: McNally, W. J., and B. F. Smith, 2011, A microstructure analysis of the liquidity impact of open market repurchases, Journal of Financial Research 34, 481-501. – reference: Bargeron, L., M. Kulchania, and S. Thomas, 2011, Accelerated share repurchase, Journal of Financial Economics 101, 69-89. – reference: Ginglinger, E., and J. Hamon, 2007, Actual share repurchases, timing and corporate liquidity, Journal of Banking and Finance 31, 915-38. – reference: Brockman, P., and D. Chung, 2001, Managerial timing and corporate liquidity: Evidence from actual share repurchases, Journal of Financial Economics 61, 417-48. – reference: Easley, D., N. Kiefer, M. O'Hara, and J. Paperman, 1996, Liquidity, information and infrequently traded stocks, Journal of Finance 51, 1405-36. – reference: Simkovic, M., 2009, The effect of mandatory disclosure on open-market stock repurchases, Berkeley Business Law Journal 6, 96-130. – reference: Huang, R. D., and H. Stoll, 1997, The components of the bid-ask spread: A general approach, Review of Financial Studies 10, 995-1034. – reference: Wiggins, J., 1994, Open market stock repurchase programs and liquidity, Journal of Financial Research 17, 217-29. – reference: Brav, A., J. Graham, C. Harvey, and R. Michaely, 2005, Payout policy in the 21st century, Journal of Financial Economics 77, 483-527. – reference: Peyer, U., and T. Vermaelen, 2005, The many facets of privately negotiated stock repurchases, Journal of Financial Economics 75, 361-95. – reference: Lee, C., and B. Radhakrishnan, 2000, Inferring investor behavior: Evidence from TORQ data. Journal of Financial Markets 3, 83-111. – reference: Demsetz, H., 1968. The cost of transacting, Quarterly Journal of Economics 82, 33-53. – year: 2009 – volume: 23 start-page: 47 year: 1994 end-page: 55 article-title: Liquidity changes associated with open market repurchases publication-title: Financial Management – volume: 77 start-page: 483 year: 2005 end-page: 527 article-title: Payout policy in the 21st century publication-title: Journal of Financial Economics – volume: 101 start-page: 69 year: 2011 end-page: 89 article-title: Accelerated share repurchase publication-title: Journal of Financial Economics – volume: 48 start-page: 1009 year: 1993 end-page: 38 article-title: Market integration and price execution for NYSE‐listed securities publication-title: Journal of Finance – volume: 30 start-page: 365 year: 1995 end-page: 82 article-title: Open‐market share repurchase programs and bid–ask spreads on the NYSE: Implications for corporate payout policy publication-title: Journal of Financial and Quantitative Analysis – volume: 34 start-page: 481 year: 2011 end-page: 501 article-title: A microstructure analysis of the liquidity impact of open market repurchases publication-title: Journal of Financial Research – volume: 75 start-page: 361 year: 2005 end-page: 95 article-title: The many facets of privately negotiated stock repurchases publication-title: Journal of Financial Economics – volume: 17 start-page: 217 year: 1994 end-page: 29 article-title: Open market stock repurchase programs and liquidity publication-title: Journal of Financial Research – year: 2001 – year: 2003 – volume: 66 start-page: 55 year: 2010 end-page: 72 article-title: Not all buybacks are created equal: The case of accelerated stock repurchases publication-title: Financial Analysts Journal – volume: 82 start-page: 33 year: 1968 end-page: 53 article-title: The cost of transacting publication-title: Quarterly Journal of Economics – volume: 51 start-page: 1405 year: 1996 end-page: 36 article-title: Liquidity, information and infrequently traded stocks publication-title: Journal of Finance – volume: 31 start-page: 915 year: 2007 end-page: 38 article-title: Actual share repurchases, timing and corporate liquidity publication-title: Journal of Banking and Finance – volume: 53 start-page: 313 year: 1998 end-page: 34 article-title: Actual share reacquisitions in open market repurchase programs publication-title: Journal of Finance – volume: 19 start-page: 69 year: 1987 end-page: 90 article-title: Price, trade size, and information in securities markets publication-title: Journal of Financial Economics – volume: 3 start-page: 83 year: 2000 end-page: 111 article-title: Inferring investor behavior: Evidence from TORQ data publication-title: Journal of Financial Markets – year: 2010 – volume: 6 start-page: 96 year: 2009 end-page: 130 article-title: The effect of mandatory disclosure on open–market stock repurchases publication-title: Berkeley Business Law Journal – volume: 61 start-page: 417 year: 2001 end-page: 48 article-title: Managerial timing and corporate liquidity: Evidence from actual share repurchases publication-title: Journal of Financial Economics – volume: 14 start-page: 463 year: 2004 end-page: 98 article-title: On the timing and execution of open market repurchases publication-title: Review of Financial Studies – year: 2006 – volume: 10 start-page: 995 year: 1997 end-page: 1034 article-title: The components of the bid–ask spread: A general approach publication-title: Review of Financial Studies – volume: 22 start-page: 61 year: 1988 end-page: 82 article-title: Corporate payout policy: Cash dividends versus open‐market repurchases publication-title: Journal of Financial Economics – volume: 25 start-page: 445 year: 2001 end-page: 78 article-title: Share repurchase tender offers and bid–ask spreads publication-title: Journal of Banking and Finance – volume: 92 start-page: 66 year: 2009 end-page: 91 article-title: Caught on tape: Institutional trading, stock returns, and earnings announcements publication-title: Journal of Financial Economics – volume: 8 start-page: 1153 year: 1995 end-page: 83 article-title: Trade size and components of the bid–ask spread publication-title: Review of Financial Studies – volume: 13 start-page: 71 year: 1985 end-page: 100 article-title: Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders publication-title: Journal of Financial Economics – volume: 65 start-page: 111 year: 2002 end-page: 30 article-title: Order imbalance, liquidity, and market returns publication-title: Journal of Financial Economics – volume: 46 start-page: 733 year: 1991 end-page: 46 article-title: Inferring trade direction from intraday data publication-title: Journal of Finance – volume: 21 start-page: 123 year: 1988 end-page: 42 article-title: Estimating the components of the bid/ask spread publication-title: Journal of Financial Economics – ident: e_1_2_7_25_1 doi: 10.1093/rfs/8.4.1153 – ident: e_1_2_7_28_1 doi: 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| Snippet | I investigate the impact on trading characteristics of firms announcing share repurchases using a relatively new buyback method—accelerated share repurchases... I investigate the impact on trading characteristics of firms announcing share repurchases using a relatively new buyback method - accelerated share repurchases... |
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| SubjectTerms | Liquidity Securities analysis Securities buybacks Studies Volatility |
| Title | MARKET MICRSOTRUCTURE CHANGES AROUND ACCELERATED SHARE REPURCHASE ANNOUNCEMENTS |
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