Information trading around open market share repurchases: evidence from the Taiwan Stock Exchange

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/51711

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51711

Title:	Information trading around open market share repurchases: evidence from the Taiwan Stock Exchange
Authors:	Chou,RK;Yu,YM
Contributors:	財務金融學系
Keywords:	BID-ASK SPREAD;TENDER OFFERS;MICROSTRUCTURE;LIQUIDITY;DIVIDENDS;AUCTION;VOLUME;POLICY;COSTS;EX
Date:	2011
Issue Date:	2012-03-27 19:03:22 (UTC+8)
Publisher:	國立中央大學
Abstract:	We examine the information trading around open market share repurchases on the Taiwan Stock Exchange (TSE). Because of the distinctive regulations of share repurchases in Taiwan, our samples offer a unique opportunity to test changes in information trading during share repurchases. We show that the risk of information trading significantly increases during the repurchase execution period and reverts back in the post-expiration period. It is likely that some uninformed traders leave the market in the execution period, in anticipation of higher information uncertainties. Therefore, the remaining uninformed traders collectively face higher possibility of trading with informed traders.
Relation:	APPLIED ECONOMICS LETTERS
Appears in Collections:	[Department of Finance] journal & Dissertation

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