We examine the market liquidity impact of open market share repurchases in a computerized order driven market. Using a detailed dataset of daily repurchase transactions on the Stockholm Stock Exchange together with intraday data on bid-ask spreads and order depths enable us to examine liquidity effects on the actual repurchase days. Overall, we find that repurchase trades inside the order driven trading system contributes to market liquidity through narrower bid-ask spreads and deeper market depths. After controlling for total trading volume, price, and volatility we still find a significant decrease of the bid-ask spread on repurchase days relative to surrounding non-repurchase days. However, repurchases executed as block trades outside the order driven trading system have a detrimental effect on the bid-ask spread, consistent with a negative response to the presence of informed managerial trading. / <p>QC 20130515</p>
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-122242 |
| Date | January 2013 |
| Creators | Råsbrant, Jonas, De Ridder, Adri |
| Publisher | KTH, Entreprenörskap och Innovation, Högskolan på Gotland |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Conference paper, info:eu-repo/semantics/conferenceObject, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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