Abstract
This paper reports a new anomaly in finance: buying shares before the expiration date of a repurchase tender offer and tendering to the firm produces returns of more than 9% per week, on average. It is also found that repurchasing companies beat the value weighted index with 10 per cent per year in the two years after the repurchase. However, the fact that we can’t beat the equally weighted market index suggests that we have “rediscovered” the size effect.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Banz, Rolf, 1981, The Relationship between return and market value of common stock, Journal of Financial Economics 9, 3–18
Dann, Larry, 1981, Common stock repurchases: an anlysis of returns to bondholders and stockholders, Journal of Financial Economics 9, 115–138
Dimson, Elroy and Paul Marsh, 1986, Event study methodologies and the size effect: the case of UK press recommendations, Journal of Financial Economics 17, 113–143
Lakonishok, Josef and Theo Vermaelen, 1988, “Anomalous Price Behavior around Repurchase Tender Offers”, manuscript, INSEAD.
Masulis, Ron, 1980, Stock Repurchase by tender offer: an analysis of common stock price changes, Journal of Finance 35, 305–318
Vermaelen, Theo, 1981, Common Stock Repurchases and Market Signalling, Journal of Finance Economics 9, 139–183
Vermaelen, Theo, 1984, Repurchase tender offers, signalling and managerial incentives, Journal of Financial and Quantitative Analysis 19, 163–181
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1989 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Lakonishok, J., Vermaelen, T. (1989). Trading Rules Around Repurchase Tender Offers. In: Guimarães, R.M.C., Kingsman, B.G., Taylor, S.J. (eds) A Reappraisal of the Efficiency of Financial Markets. NATO ASI Series, vol 54. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-74741-0_23
Download citation
DOI: https://doi.org/10.1007/978-3-642-74741-0_23
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-74743-4
Online ISBN: 978-3-642-74741-0
eBook Packages: Springer Book Archive