The Nature and Persistence of Buyback Anomalies
The Nature and Persistence of Buyback Anomalies
复制标题
回购异常的本质和持续性
DOI：
10.1093/rfs/hhn024
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发表时间：
2009
影响因子：
8.2
通讯作者：
Theo Vermaelen
中科院分区：
文献类型：
--
作者：
U. Peyer;Theo Vermaelen
利用最近的数据，我们拒绝了Lakonishok和Vermaelen （1990, Journal of Finance, 45:45 55—77）和Ikenberry， Lakonishok, and Vermaelen （1995, Journal of Financial Economics, 39:181—208）首次报道的回购异常现象随着时间的推移而消失的假设。我们发现了与假设相符的证据，即公开市场回购是对市场对坏消息的过度反应的回应：分析师大幅下调评级，同时对长期收益的预测过于悲观。要约收购后的股票价格设定得好像所有投资者都投标他们的股票，但经验上并非如此。因此，套利机会持续存在，因为市场设定的价格似乎是平均值，而不是边际投资者决定股票价格。作者2008。牛津大学出版社代表金融研究学会出版。版权所有。有关许可，请发送电子邮件：journals.permissions@oxfordjournals.org，牛津大学出版社。
Using recent data, we reject the hypothesis that the buyback anomalies first reported by Lakonishok and Vermaelen (1990, Journal of Finance 45:455--77) and Ikenberry, Lakonishok, and Vermaelen (1995, Journal of Financial Economics 39:181--208) have disappeared over time. We find evidence consistent with the hypothesis that open market repurchases are a response to a market overreaction to bad news: significant analyst downgrades, combined with overly pessimistic forecasts of long-term earnings. Stock prices after tender offers are set as if all investors tender their shares, but empirically they do not. Thus, the arbitrage opportunity persists because the market sets prices as if the average, not the marginal investor, determines the stock price. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.