English, Article edition: Buyback trading of open market share repurchase firms and the return volatility decline Jaemin Kim

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Bookmark: http://trove.nla.gov.au/version/28364
Physical Description
  • article
Language
  • English

Edition details

Title
  • Buyback trading of open market share repurchase firms and the return volatility decline
Author
  • Jaemin Kim
Physical Description
  • article
Notes
  • Purpose – The paper seeks to examine changes in daily return volatility associated with open market share repurchases. Design/​methodology/​approach – Univariate analyses, control sample analyses, and multiple regression analyses are employed to explore relations between daily return volatility and a number of variables. Findings – This study finds evidence that an open market share repurchase firm, by actively buying back its shares when the share price falls, reduces daily return volatility. The results suggest that it is the subsequent actual buyback trading activity, not the announcement, that is significantly negatively associated with changes in daily return volatility. CAPM beta, a measure of systematic risk, decreases only when the firm is in the market actively repurchasing its shares. Originality/​value – To the best of the author's knowledge, this study is probably the first to connect changes in daily return volatility to actual buyback trading activities of share repurchase announcing firms. Changes in daily return volatility, or total risk, not only affect systematic risk, but also are important to underlying option holders, arbitrageurs, and investors who hold undiversified portfolios.
  • Shares, Stock returns, Volatility
  • RePEc:eme:ijmfpp:v:3:y:2007:i:4:p:316-337
Language
  • English
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