题名

DO SHARE REPURCHASES IMPACT ANALYSTS' ACTIVITY AND INFORMATIVENESS?

DOI

10.6293/AQAFA.201812_16.0009

作者

Hubert de La Bruslerie

关键词

Analysts ； Share Repurchases ； Earning Forecasts Revisions ； Informativeness ； Synchronicity ； Illiquidity Ratio ； Cumulative Abnormal Returns (CARs)

期刊名称

Advances in Quantitative Analysis of Finance and Accounting

卷期/出版年月

16期（2018 / 12 / 31）

页次

267 - 309

内容语文

英文
中文摘要

Share repurchases announcement are discretionary transactions that stimulate analyst's activity. We use the multi-dimensional concept of informativeness to capture the integration of information in the stock prices. Our empirical test comprises American and European buybacks in the period 2000-2013. We refer to three independent measures of informativeness: the synchronicity measure introduced by Roll (1988), the Amihud (2002) illiquidity ratio, and the Llorente, Michaely, Saar, and Wang (2002) measure. We relate these three measures to analysts' activity in earning forecasting. We show that share repurchase decisions initiate a process, stimulate revisions by analysts, but do not systematically improve the informativeness of stock prices. An effective information process may develop if first it is pegged on negative cumulative abnormal return (CAR) values, and/or if the analysts are revising downward their earnings forecasts. We also highlight that informativeness improves asymmetrically depending on whether a change in the dividend policy occurs simultaneously.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
  1. Allen, F.,Bernardo A. E.,Welch, I.(2000).A theory of dividends based on tax clienteles.The Journal of Finance,55,2499-2536.
  2. Altınkılıç, O.,Hansen, R. S.(2009).On the information role of stock recommendation revisions.Journal of Accounting and economics,48(1),17-36.
  3. Alves, P.,Peasnell, K.,Taylor, P.(2010).The use of the R2 as a measure of firm-specific information: A cross-country critique.Journal of Business Finance & Accounting,37(1-2),1-26.
  4. Amihud, Y.(2002).Illiquidity and stock returns: Cross-section and time-series effects.Journal of Financial Markets,5(1),31-56.
  5. Asquith, P.,Mikhail, M. B.,Au, A. S.(2005).Information content of equity analyst reports.Journal of Financial Economics,75,245-282.
  6. Bargeron, L.,Kulchania, M.,Thomas, S.(2011).Accelerated share repurchases.Journal of Financial Economics,101(1),69-89.
  7. Benartzi, S.,Michaely, R.,Thaler, R.(1997).Do changes in dividends signal the future or the past?.The Journal of Finance,52,1007-1034.
  8. Berk, J. B.,Green, R. C.,Naik, V.(1999).Optimal investment, growth options, and security returns.The Journal of Finance,54,1553-1607.
  9. Bernheim, B. D.(1991).Tax policy and the dividend puzzle.The RAND Journal of Economics,22,455-476.
  10. Beuselinck, C., Joos, P., Khurana, I. K., & Van der Meulen, S. (2009). Mandatory IFRS reporting and stock price informativeness. Working paper, Lille Catholic University, Lille, France. doi:10.2139/ssrn.1381242
  11. Billett, M. T.,Yu, M.(2015).Asymmetric information, financial reporting, and open market share repurchases.Journal of Financial and Quantitative Analysis
  12. Bramante, R.,Petrella, G.,Zappa, D.(2015).On the use of the market model R-square as a measure of stock price efficiency.Review of Quantitative Finance and Accounting,44,379-391.
  13. Brav, A.,Lehavy, R.(2003).An empirical analysis of analysts’ target prices: Short-term informativeness and long-term dynamics.The Journal of Finance,58,1933-1967.
  14. Bris, A.,Goetzmann, W. N.,Zhu, N.(2007).Efficiency and the bear: Short sales and markets around the world.The Journal of Finance,62,1029-1079.
  15. Brown, L. D.,Gordon, D. R.,Steven, J. S.(1987).An Information interpretation of financial analyst superiority in forecasting earnings.Journal of Accounting Research,25,49-67.
  16. Busch, P.,Obernberger, S.(2017).Actual share repurchases, price efficiency, and the information content of stock prices.Review of Financial Studies,30,324-362.
  17. Chan, K.,Hameed, A.(2006).Stock price synchronicity and analyst coverage in emerging markets.Journal of Financial Economics,80,115-147.
  18. Chen, Q.,Goldstein, I.,Jiang, W.(2007).Price informativeness and investment sensitivity to stock price.The Review of Financial Studies,20,619-650.
  19. Cooper, L. A.,Downes, J. F.,Rao, R. P.(2018).Short term real earnings management prior to stock repurchases.Review of Quantitative Finance and Accounting,50,95-128.
  20. Dasgupta, S.,Gan, J.,Gao, N.(2010).Transparency, price informativeness, and stock return synchronicity: Theory and evidence.Journal of Financial and Quantitative Analysis,45,1189-1220.
  21. De Bondt, W. F. M.,Thaler, R. H.(1990).Do security analysts overreact?.The American Economic Review,80,52-57.
  22. de La Bruslerie, H., Coen A. (2016). Informativeness and financial analysts’ activity: evidence from European and North American M&A. Working paper, University Paris Dauphine, Paris, France.
  23. Dittmar, A. K.(2000).Why do firms repurchase stock?.The Journal of Business,73,331-355.
  24. Durnev, A.,Morck, R.,Yeung, B.(2004).Value-enhancing capital budgeting and firm-specific stock return variation.The Journal of Finance,59,65-105.
  25. Durnev, A.,Morck, R.,Yeung, B.,Zarowin, P.(2003).Does greater firmspecific return variation mean more or less informed stock pricing?.Journal of Accounting Research,41,797-836.
  26. Dye, R. A.,Sridhar, S. S.(1995).Industry-wide disclosure dynamics.Journal of Accounting Research,33,157-174.
  27. Easley, D.,Kiefer, N. M.,O'Hara, M.(1996).Cream-skimming or profit-sharing? The curious role of purchased order flow.The Journal of Finance,51,811-833.
  28. Eberhart, A.,Siddique, A. R.(2005).Why are stock buyback announcements good news?.AFA 2005 Philadelphia Meetings,Berkeley, CA:
  29. Eun, C. S.,Wang, L.,Xiao, S. C.(2015).Culture and R2.Journal of Financial Economics,115,283-303.
  30. Fernandes, N.,Ferreira, M. A.(2009).Insider trading laws and stock price informativeness.The Review of Financial Studies,22,1845-1887.
  31. Ferreira, D.,Ferreira, M. A.,Raposo, C. C.(2011).Board structure and price informativeness.Journal of Financial Economics,99,523-545.
  32. Foucault, T.,Fresard, L.(2014).Learning from peers’ stock prices and corporate investment.Journal of Financial Economics,111,554-577.
  33. Francis, J.,Soffer, L.(1997).The relative informativeness of analysts’ stock recommendations and earnings forecast revisions.Journal of Accounting Research,35,193-211.
  34. Frankel, R.,Kothari, S. P.,Weber, J.(2006).Determinants of the informativeness of analyst research.Journal of Accounting and Economics,41(1-2),29-54.
  35. Fresard, L.(2012).Cash savings and stock price informativeness.Review of Finance,16,985-1012.
  36. Gassen, J., Skaife, H. A., & Veenman, D. (2017). Illiquidity and the measurement of stock price synchronicity. Working paper, Humboldt University, Berlin, Germany. doi:10.2139/ssrn.2405465
  37. Ginglinger, E.,Hamon, J.(2007).Actual share repurchases, timing and liquidity.Journal of Banking & Finance,31,915-938.
  38. Grullon, G.,Michaely, R.(2002).Dividends, share repurchases, and the substitution hypothesis.The Journal of Finance,57,1649-1684.
  39. Grullon, G.,Michaely, R.(2004).The information content of share repurchase programs.The Journal of Finance,59,651-680.
  40. Gunthorpe, D. L.(1993).Stock repurchases: A further test of the free cash flow hypothesis.Review of Quantitative Finance and Accounting,3,353-365.
  41. Haw, I.-M.,Ho, S. S. M.,Hu, B.,Zhang, X.(2011).The contribution of stock repurchases to the value of the firm and cash holdings around the world.Journal of Corporate Finance,17,152-166.
  42. Healy, P. M.,Hutton, A. P.,Palepu, K. G.(1999).Stock performance and intermediation changes surrounding sustained increases in disclosure.Contemporary Accounting Research,16,485-520.
  43. Healy, P. M.,Palepu, K. G.(2001).Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature.Journal of Accounting and Economics,31,405-440.
  44. Hillert, A.,Maug, E.,Obernberger, S.(2016).Stock repurchases and liquidity.Journal of Financial Economics,119,186-209.
  45. Jacob, J.,Lys, T. Z.,Neale, M. A.(1999).Expertise in forecasting performance of security analysts.Journal of Accounting and Economics,28(1),51-82.
  46. Jensen, M. C.(1986).Agency costs of free cash flow, corporate finance, and takeovers.The American Economic Review,76,323-329.
  47. Jin, L.,Myers, S. C.(2006).R2 around the world: New theory and new tests.Journal of Financial Economics,79,257-292.
  48. John, K.,Williams, J.(1985).Dividends, dilution, and taxes: A signalling equilibrium.The Journal of Finance,40,1053-1070.
  49. Kyle, A. S.(1985).Continuous auctions and insider trading.Econometrica,53,1315-1335.
  50. Lee, C.-H.,Alam, P.(2004).Stock option measures and the stock repurchase decision.Review of Quantitative Finance and Accounting,23,329-352.
  51. Lin, K. J.,Karim, K.,Carter, C.(2014).Stock price informativeness and idiosyncratic return volatility in emerging markets: Evidence from China.Review of Pacific Basin Financial Markets and Policies,17(4),1450025.
  52. Lipson, M. L.,Mortal, S.(2007).Liquidity and firm characteristics: Evidence from mergers and acquisitions.Journal of Financial Markets,10,342-361.
  53. Llorente, G.,Michaely, R.,Saar, G.,Wang, J.(2002).Dynamic volume-return relation of individual stocks.The Review of Financial Studies,15,1005-1047.
  54. Loureiro, G. R., & Taboada, A. G. (2015). Do improvements in the information environment affect real investment decisions? Retrieved from http://ssrn.com/abstract=1952593
  55. Meek, G. K.,Roberts, C. B.,Gray, S. J.(1995).Factors influencing voluntary annual report disclosures by U.S., U.K. and continental European multinational corporations.Journal of International Business Studies,26,555-572.
  56. Morck, R.,Yeung, B.,Yu, W.(2000).The information content of stock markets: Why do emerging markets have synchronous stock price movements?.Journal of Financial Economics,58,215-260.
  57. Piotroski, J. D.,Roulstone, D. T.(2004).The influence of analysts, institutional investors, and insiders on the incorporation of market, industry, and firm-specific information into stock prices.The Accounting Review,79,1119-1151.
  58. Roll, R.(1988).R2.The Journal of Finance,43,541-566.
  59. Stephens, C. P.,Weisbach, M. S.(1998).actual share reacquisitions in open‐market repurchase programs.The Journal of Finance,53,313-333.
  60. Thomoson Financial. (n.d.). Enhancements to Thomson ONE Investment Banking. Retrieved from http://banker.thomsonib.com/
  61. Veldkamp, L.(2006).Information markets and the comovement of asset prices.The Review of Economic Studies,73,823-845.
  62. Vermaelen, T.(1984).Repurchase tender offers, signaling, and managerial incentives.The Journal of Financial and Quantitative Analysis,19,163-181.
  63. Wurgler, J.(2000).Financial markets and the allocation of capital.Journal of Financial Economics,58,187-214.
  64. Xing, X.,Anderson, R.(2011).Stock price synchronicity and public firm-specific information.Journal of Financial Markets,14,259-276.
  65. Yook, K. C.,Gangopadhyay, P.(2011).A comprehensive examination of the wealth effects of recent stock repurchase announcements.Review of Quantitative Finance and Accounting,37,509-529.
print cancel