In this paper, we analyze share repurchase rumors comparing them with share repurchase announcements in the period from 1999 to 2010. We found the empirical evidence that share repurchase rumors exhibit positive signaling effect comparable to the announcement effect of share repurchases. We then extend the existing theory of rumors (information transmission) by introducing the concept of publication status. Publication of rumors changes their status from private to public information. This transition results in smaller abnormal returns and acceleration in uninformed liquidity trading. In addition, empirical evidence suggests that the stock market differentiates information from different publication sources, e.g., major news providers versus self reporting company presses.
Keywords: Rumor, Share repurchase, Signaling, Publication effect, Publication source effect
[2013년 제 2차] Share Repurchase Rumors: Signaling, Publication and
작성자 : 관리자
조회수 : 898
게시일 :
2013-06-05