Stock Price Responses to the Announcement of Buyback of Shares in India
Notice bibliographique
Résumé
In this paper an attempt has been made to examine the short term market reaction to the buyback announcement on stock price in India. A number of studies have examined the effect of buyback on share price behaviour and empirical evidence from the prior studies report that negative long run abnormal returns following the buyback announcement in U S, U K and Canada. Market reaction in the UK differs from that in the US for short term market. In this direction an empirical study has been carried out to know the Indian stock markets reaction to Buy-back of shares. This study is confined shares buyback of listed companies for the period 1996 to 2006. The sample consists of 106 companies, which are listed in the BSE. The adjusted daily stock prices and BSE 200 index are collected for each of the firms from day – 331 to + 30. If the share price data is not available due to non-trading, such companies are eliminated. In order to analyze the impact of the announcement of buyback of shares on stock price, the event period is centered on the announcement date of buyback of shares. The announcement date is designated as day “0” in the event period and used 61 days event period, i.e. 30 trading days before the announcement of the buyback of shares to 30 trading days after the announcement of the buyback of shares, 0 being the day of the announcement of the buyback of shares. The methodology of the study involves use of market model which was developed and suggested by Sharpe (1963). The effect of stock prices is measured in an event period using the abnormal return associated with this event. The researcher computed the Expected Returns (ER), Abnormal Returns (AR), Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAARs) to examine the stock price reaction. To measure the stock price response to the buyback of shares announcement, it is necessary to segregate the returns attributed to the market movement and those that are not attributed to the market movement, but to buyback announcement. This adjustment is made using the market model. The estimation period used was -31 days to -330 days. If there is no trading in the market on the announcement day, the immediate next trading day is considered as event-day for those firms. To examine the statistical significance of the average abnormal returns z–statistic is constructed and the hypothesis that the AAR is equal to zero is tested. The study reveals, buyback announcement have not provided any additional information to the market. Market has not found any news in the announcement as revealed by the continuing trend that started before the announcement. In the nutshell, study shows negative and insignificant abnormal returns for majority of the days in the event period.
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Comment cette classification a été obtenuedéplier
Prédiction machine sur la base complète
Imitation des enseignantsNi prévalence calibrée, ni vérité terrain. Validation humaine à venir. Le volet Gemma est une étiquette directe du modèle pour chaque travail de la base, lue sur la notice réduite au titre. Le volet Codex est un classifieur appris des 10 348 étiquettes directes de Codex et calibré sur les taux pondérés de l'échantillon; les champs sans appui suffisant ne portent aucun appel Codex. Le mode candidate est l'union des deux volets; le consensus est leur intersection. Ces sorties portent le statut machine_predicted_unvalidated et ne sont pas des étiquettes humaines.
Scores du classifieur distillé par catégorie (deux têtes)
| Catégorie | Codex | Gemma |
|---|---|---|
| Métarecherche | 0,000 | 0,002 |
| Méta-épidémiologie (sens strict) | 0,000 | 0,000 |
| Méta-épidémiologie (sens large) | 0,000 | 0,000 |
| Bibliométrie | 0,000 | 0,001 |
| Études des sciences et des technologies | 0,000 | 0,000 |
| Communication savante | 0,001 | 0,000 |
| Science ouverte | 0,000 | 0,000 |
| Intégrité de la recherche | 0,000 | 0,000 |
| Charge utile insuffisante (le modèle a refusé de juger) | 0,001 | 0,000 |
Scores machine (provisoires)
Les deux têtes enseignantes du modèle étudiant, lues sur ce travail. Un score ordonne la base pour la relecture; il n'affirme jamais une catégorie, et le statut de validation accompagne chaque rangée tel quel.
Scores de référence d'un modèle non mature (critères de maturité non atteints, 7 itérations). Un score ordonne; il n'affirme jamais une catégorie.
score_only:v0-immature-baseline · tel quel depuis la passe de notation : score_only signifie que le nombre peut ordonner les travaux, et qu'aucune étiquette de catégorie n'en découleClassification
machine, non validéePrédiction automatique; un appel candidat d’une seule source (Gemma direct ou Codex distillé), pas un consensus.
Le détail, modèle par modèle et score par score, se trouve en fin de page sous « Comment cette classification a été obtenue ».