文档介绍：ELSEVIER Journal of Financial Economics 39 (1995) 181-208 Market underreaction to open market share repurchases David Ikenberry”, Josef Lakonishok*Tb, Theo Vermaelencqd ‘Jesse H. Jones Graduate School of Business Administration, Rice University, Houston, TX 77005, USA bUniversity of Illinois at Urbana-Champaign, Champaign, IL 61820, USA ‘INSEAD, 77305 Fontainebleau Cedex, France ‘University of Limburg, 6200 MD Maastricht, herlands (Received January 1994; final version received February 1995) Abstract We examine long-run firm performance following open market share repurchase announcements, 1980-1990. We find that the average abnormal four-year buy-and-hold return measured after the initial announcement is %. For ‘value’ stocks, companies more likely to be repurchasing shares because of undervaluation, the average abnormal return is %. For repurchases announced by ‘glamour’ stocks, where undervaluation is less likely to be an important motive, no positive drift in abnormal returns is observed. Thus, at least with respect to value stocks, the market errs in its initial response and appears to ignore much of the information conveyed through repurchase announce- ments. Key words: Stock repurchase JEL classification: G14; G32 *Corresponding author. We appreciate ments of Amir Barnea, Louis Chan, Kent Daniel, Bala Dharan, Narashimhan Jegadeesh, e Kanatas, Steve Kaplan, Tim Loughran, Matt Maher, Robert McDonald, Bill Nelson, Tim Opler, Graeme Rankine, Jay Ritter, Andrei Shleifer, Richard Shockley, David Smith, Kay Stice, Robert Vishny, and JFE editor Jerold Warner. We extend thanks to Eugene Fama (the referee), who also provided us with monthly factor returns. This paper has been presented at the 1994 NBER Behavioral Finance meeting, the 1994 NBER Corporate Finance meeting, the Spring 1994 CRSP Seminar on the Analysis of Security Prices, the 1994 Western Finance Association meetings, the 1994 European Q-group meetings in Lausanne, t