DO SHARE REPURCHASES IMPACT ANALYSTS' ACTIVITY AND INFORMATIVENESS?

Hubert de La Bruslerie

《Advances in Quantitative Analysis of Finance and Accounting》 16期 (2018/12) Pp. 267-309

https://doi.org/10.6293/AQAFA.201812_16.0009

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.

關鍵字

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

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