Impact of motives on market reaction to U.S. bank holding company share repurchase announcements
Date Issued
2006
Date
2006
Author(s)
Chan, Chi-Wei
DOI
en-US
Abstract
This paper examines the short-run market reaction to the U.S. bank holding company share repurchase announcements by using a standard event study methodology and conducts further regression analysis to generalize the motives affecting short-run abnormal return from previous literatures. It is found that the announcement period returns are strongly and negatively related to the prior period returns, size, market-to-book ratio, and beta value, but are positively related to first tier capital ratio, the degree of securitization activities and the potential threat of a takeover. Taken together, though the empirical result supports many prior hypotheses, it strongly favors the undervaluation signaling effect. However, it does not seem to support the free cash flow hypothesis. Our sample includes repurchase announcements between 1995 and 2005.
Subjects
金融控股公司
庫藏股
事件研究法
迴歸分析
累積異常報酬
Bank Holding Company
Stock Repurchase
Event Study
Regression Analysis
Cumulative Abnormal Returns
Type
other
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