Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2005 erstellt
Beschreibung:
We develop a model to explore the effects of firms being buyers of last resort on stock returns and liquidity. Those with more ability to repurchase shares when prices drop far below fundamental value (less financially constrained ones) should have lower short horizon relative to long-horizon return variance and more positively skewed returns than other firms. Using standard proxies for financing constraints such as past repurchases and firm age, we find support for both of these predicted relations in the U.S. stock market. Consistent with our theory, these relations are stronger in the U.S. after 1982 when regulatory reforms lowered the legal cost of conducting repurchases; and among the ten largest stock markets in the world, they are stronger in countries where share repurchases are legally easier to execute. Using data on bid-ask spreads and price impact costs, we also find some support for the proposition that firm intervention makes it less risky for other traders to provide liquidity for its stock