p.p1 other ways in which share repurchasesp.p1 other ways in which share repurchases

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Besides providing price support at the lower bound, there could be other ways in which share repurchases increase the price efficiency of a stock. Hou & Moskowitz (2005) constructed a measure to examine the delay with which a stock price reacts to new available market information. This delay measure compares the R-squared of two market models, the simple market model and the extended market model. The extended market model adds 5 lags of market returns as independent variables to the model. The higher the explanatory power of the extended market model and thus of the lagged market returns the larger is the delay with which the stock price incorporates information. A large delay in incorporating new information in the stock price, is an indicator of a less efficiently priced stock. Hou & Moskowitz (2005) argue that stocks can be price less efficiently due to inattention of investors. Their reasoning is based on the results that firms with the largest price delay obtain significant premium returns. 
Based on this research, Busch & Obernberger (2016) construct the hypothesis that share repurchases improve the speed with which stock prices incorporate new positive information, when firms intensify the repurchasing of shares due to positive information that is not reflected in the stock price yet. The hypothesis reflects the idea that managers believe that their shares should be worth more because of the new positive market information. Consequentially, managers will repurchase shares until their stock prices reaches its fundamental value. Busch & Obernberger (2016) further reason that the repurchase of 12 

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shares can attract the attention of investors that neglected the stock. The extra attention can improve the price efficiency of the stock. By the placement of a market order a firm is capable of directly incorporating the positive market information. In the UK the strict regulation makes it harder to launch a share repurchase program, so when firms start a repurchase program it could raise even more attention. Bonaime (2015) and Hacekthal & Zdantchouk (2006) report that share repurchase in stricter regulated countries, send stronger signals to the market. Therefore, share repurchases could potentially raise more awareness in the UK than in the US.