Announcement effects of share repurchases in India. Abnormal returns or information asymmetry?

Analysis of market- and firm-specific determinants


Master's Thesis, 2022

106 Pages, Grade: 1.0


Abstract or Introduction

In this paper, market-based and firm-specific determinants are introduced to measure their association with abnormal returns around the announcement of a share buyback conducted through tender and open market offers in India. To test the valuation effect of market-based variables: uncertainty, which is determined by implied market volatility and economic policy uncertainty. Liquidity risk, which is investigated through two illiquidity proxies and the impact of the monetary environment, represented by the three-month Mumbai Interbank Offer Rate (MIBOR) and the gold price are included. In addition, the main firm-specific hypotheses are tested to identify potential key drivers.

The valuation effects examined cover the period from April 1, 2011, to March 31, 2021, during which a total of 359 share repurchases were made, 231 through tender offer and the remaining 128 through the open market. Beside separating the two buyback methods, I examine different categories in addition to the full sample to determine whether market participants' reaction to share repurchase announcements leads to abnormal returns.

The rest of the paper is organized as follows. Next section provides an overview about the regulatory framework of share buyback in India. Section 3 states a brief overview about the share repurchase literature with reference to uncertainty and liquidity in global context and firm-specific literature in Indian context. Then the hypotheses are stated. Sections 5 and 6 present the methodology and data, and section 7 presents the empirical results. Section 8 provides concluding remarks.

Details

Title
Announcement effects of share repurchases in India. Abnormal returns or information asymmetry?
Subtitle
Analysis of market- and firm-specific determinants
College
University of Passau
Grade
1.0
Author
Year
2022
Pages
106
Catalog Number
V1361500
ISBN (eBook)
9783346884831
ISBN (Book)
9783346884848
Language
English
Keywords
Share Repurchase, Stock buyback, Share buyback, Abnormal return, analysis, emerging market, Announcement effects, Tender Offer, Open Market
Quote paper
Jonas Wirth (Author), 2022, Announcement effects of share repurchases in India. Abnormal returns or information asymmetry?, Munich, GRIN Verlag, https://www.grin.com/document/1361500

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