Profitabiliy of investment strategies based on share repurchases. Do announcements matter?

      Аннотация: Previous studies, in most cases, investigated share repurchases for undervalued companies. This work is dedicated to a deeper analysis of the reasons for share buybacks of the most prominent US firms, which are not likely to be undervalued. Hence, empirical evidence shows that the sample firms tend to repurchase more shares if there are no good investment possibilities available or as a vehicle for eliminating shares dilution when the stock options are exercised. Investigating 308 announcements of 100 companies ever included into the S&P100 index between 2005 and 2014, I observed positive and significant short-term cumulative abnormal returns after the companies had published information about the share repurchase program authorization in all years except 2009. In order to show how valuable announcements about planned share repurchases might be for market participants, eight event-driven investment strategies are constructed and evaluated in this work.

Ключевые слова: Investment Strategy, market efficiency, Outperformance, Share repurchase, event analysis, abnormal returns