Abstract

http://ssrn.com/abstract=2423344
 


 



Can Managers Time the Market? Evidence Using Repurchase Price Data


Amy K. Dittmar


University of Michigan at Ann Arbor - The Stephen M. Ross School of Business

Laura Casares Field


Pennsylvania State University - Smeal College of Business

May 7, 2014

Journal of Financial Economics (JFE), Forthcoming
Ross School of Business Paper No. 1234

Abstract:     
Little is known about the price firms pay for stock repurchases. Using a dataset of all U.S. repurchases from 2004 to 2011, we compare the actual average price paid monthly in a repurchase to the average market price for the same stock over various horizons. We find that firms repurchase stock at a significantly lower price than the average market price in all sample years. Less frequent repurchasers, firms that repurchase when insiders buy on their own account, and firms that experience low stock returns prior to the repurchase obtain significantly lower prices. After controlling for risk factors, repurchasing firms earn positive returns; infrequent repurchasers earn a significantly higher return up to three years following the actual repurchase.

Number of Pages in PDF File: 57

Keywords: Repurchases, Market Timing, Valuation, Long Run Performance, Payouts

JEL Classification: G35, G32

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Date posted: April 23, 2014 ; Last revised: May 22, 2014

Suggested Citation

Dittmar, Amy K. and Field, Laura Casares, Can Managers Time the Market? Evidence Using Repurchase Price Data (May 7, 2014). Journal of Financial Economics (JFE), Forthcoming; Ross School of Business Paper No. 1234. Available at SSRN: http://ssrn.com/abstract=2423344 or http://dx.doi.org/10.2139/ssrn.2423344

Contact Information

Amy Dittmar (Contact Author)
University of Michigan at Ann Arbor - The Stephen M. Ross School of Business ( email )
701 Tappan Street
Ann Arbor, MI MI 48109
United States
734-764-3108 (Phone)
HOME PAGE: http://webuser.bus.umich.edu/adittmar/
Laura Casares Field
Pennsylvania State University - Smeal College of Business ( email )
609D BAB I
University Park, PA 16802
United States
818-865-1483 (Phone)
818-865-3362 (Fax)
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