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Market Reaction to Actual Daily Share Repurchases in Greece

Drousia, Angeliki and Episcopos, Athanasios and Leledakis, George N. (2016): Market Reaction to Actual Daily Share Repurchases in Greece.

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The stock market reaction around the announcement date of actual share repurchases, the factors that affect the size of that reaction, and the motives behind share acquisitions are examined. A unique, hand-collected dataset is used, including public announcements of companies traded on the Athens Stock Exchange. Consistent with the price support hypothesis, companies repurchase when their share price exhibits a declining trend, whereas the short-term market reaction is not statistically significant. Large firms and firms with low book-to-market ratio repurchase when their stock has underperformed the market. Small firms and firms with high book-to-market ratio repurchase even though their shares have not experienced abnormal declines. The market reacts more favorably to buybacks by small firms and firms with high book-to-market ratio. Long-term abnormal returns are higher for repurchasing firms compared to non-repurchasing controls, and depend positively on the frequency of repurchases and the stated reason for program authorization.

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