Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-15T17:27:31.716Z Has data issue: false hasContentIssue false
  • English
  • Français

Price Effects of Stock Repurchasing: A Random Coefficient Regression Approach

Published online by Cambridge University Press:  06 April 2009

Terry Dielman ,
Timothy J. Nantell  and
Roger L. Wright
Get access Rights & Permissions [Opens in a new window]

Extract

More than ten years have passed since Bierman and West [1] and Elton and Gruber [5] first used valuation models to study corporate stock repurchasing. Young [29] followed their work with an empirical investigation of the motivations for stock repurchasing and its impact on prices. Following Young, there seems to have been a five-year pause in the study of repurchasing. However, by 1973 repurchasing activity had increased in intensity, and this seems to have rekindled an interest in studying the phenomenon.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 1 , March 1980 , pp. 175 - 189
Copyright
Copyright © School of Business Administration, University of Washington 1980

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

1Bierman, H. Jr, and West, R.. “The Acquisition of Common Stock by the Corporate Issuer.” Journal of Finance (12 1966), pp. 687–696.Google Scholar
2Boness, A. James, and Frankfurter, George M.. “Evidence of Non-Homogeneity of Capital Costs within ‘Risk Classes.’” Journal of Finance (06 1977), pp. 775–787.Google Scholar
3Boot, John, and Frankfurter, George M.. “The Dynamics of Corporate Debt Management, Decision Rules, and Some Empirical Evidence.” Journal of Financial and Quantitative Analysis (09 1972), pp. 1956–1965.Google Scholar
4Burstein, Herman. “Close Approximations of Percentage Points of the Chi-Square Distribution and Poisson Confidence Limits.” JASA (09 1973), pp. 581–584.CrossRefGoogle Scholar
5Elton, Edwin, and Gruber, Martin. “The Effect of Share Repurchase on the Value of the Firm.” Journal of Finance (03 1968), pp. 135–149.Google Scholar
6Feige, Edgar, and Swamy, P.A.V.B.. “A Random Coefficient Model of the Demand for Liquid Assets.” Journal of Money, Credit and Banking (05 1974) pp. 241–252.CrossRefGoogle Scholar
7Feige, Edgar L. “Temporal Cross-Section Specifications of the Demand for Demand Deposits.” Journal of Finance (06 1974), pp. 923–940.Google Scholar
8Finnerty, Joseph. “Insiders and Market Efficiency.” Journal of Finance (09 1976), pp. 1141–1148.CrossRefGoogle Scholar
9Haugen, Robert, and Senbet, Lemma. “The Insignificance of Bankruptcy Costs to the Theory of Optional Capital Structure.” Journal of Finance (05 1978) pp. 383–392.CrossRefGoogle Scholar
10Hildreth, Clifford, and Houck, James P.. “Some Estimates for a Linear Model with Random Coefficients.” JASA (06 1968), pp. 584–595.CrossRefGoogle Scholar
11Hsiao, Cheng. “Statistical Inference for a Model with Both Random Cross-Sectional and Time Effects.” International Economic Review (02 1974), pp. 12–30.CrossRefGoogle Scholar
12Hsiao, Cheng. “Some Estimation Methods for a Random Coefficient Model.” Econometrica (03 1975), pp. 305–325.CrossRefGoogle Scholar
13Jaffe, Jeffery. “Special Information and Insider Training.” Journal of Business (07 1974), pp. 410–428.CrossRefGoogle Scholar
14Marks, Kenneth R. The Stock Price Performance of Firms Repurchasing Their Own Shares. New York University Bulletin, 1976–1971.Google Scholar
15Nantell, Timothy J., and Finnerty, Joseph. “Effect of Large Tender Offer Repurchases on Stockholder Wealth.” Unpublished Manuscript.Google Scholar
16Norgaard, Richard, and Norgaard, Corine. “A Critical Examination of Share Repurchasing.” Financial Management (Spring 1974), pp. 44–51.CrossRefGoogle Scholar
17Rao, C. R. “The Theory of Least Squares When the Parameters Are Stochastic and Its Application to the Analysis of Growth Curves.” Biometrika (12 1965), pp. 447–458.CrossRefGoogle Scholar
18Rosenberg, Barr, and McKibben, Walt. “The Prediction of Systematic Risk in Common Stocks.” Journal of Financial and Quantitative Analysis (03 1973), pp. 317–333.CrossRefGoogle Scholar
19Rosenberg, Barr. “The Analysis of a Cross Section of Time Series by Stochastically Convergent Parameter Regression.” Annals of Economic and Social Measurement 2/4 (1973), pp. 399–428.Google Scholar
20Rosenberg, Barr. “Extra Market Components of Covariance in Security Returns.” Journal of Financial and Quantitative Analysis (03 1974), pp. 263–274.CrossRefGoogle Scholar
21Rosenberg, Marvin, and Young, Allan E.. “The Performance of Common Stocks Subsequent to Repurchase by Recent Tender Offers.” Quarterly Review of Economics and Business (Spring 1976), pp. 109–113.Google Scholar
22Rosenberg, Marvin “Firms Repurchasing Stock.” Michigan Business Review (1978), pp. 17–22.Google Scholar
23Stewart, Samuel S. “Should a Corporation Repurchase Its Own Stock?” Journal of Finance (06 1976), pp. 911–921.CrossRefGoogle Scholar
24Swamy, P.A.V.B. “Efficient Inference in a Random Coefficient Regression Model.” Econometrica (03 1970), pp. 311–323.CrossRefGoogle Scholar
25Swamy, P.A.V.BStatistical Inference in Random Coefficient Regression Models. Berlin: Springer-Verlag (1971).CrossRefGoogle Scholar
26Swamy, P.A.V.B “Linear Models with Random Coefficients.” In Frontiers in Econometrics, edited by Zarembka, Paul. New York: Academic Press, Inc. (1974), pp. 143–168.Google Scholar
27Theil, H., and Mennes, L.B.M.. “Conception, Stochastique de Coefficients Multiplicateurs dans 1'adjustment Linéarire des Séries Temporelles.” Publications del 1'Insitut de Statistique de l'University de Paris (1959), pp. 211–227.Google Scholar
28Wright, Roger L.; Dielman, Terry E.; and Nantell, Timothy J.. “Analysis of Stock Repurchases with a Random Coefficient Regression Model.” JASA Business and Economic Proceedings. Chicago, Ill. (1977), pp. 345–348.Google Scholar
29Young, Allan Edward. Managerial, Market and Investor Problems Associated with the Cash Tender Offers of Corporations for their Own Common Stock. Unpublished Ph.D. dissertation, Columbia University (1967).Google Scholar
30Young, Allan Edward. “The Performance of Common Stock Subsequent to Repurchase.” Financial Analysts Journal (09/10 1967), pp. [117–121.CrossRefGoogle Scholar
31Young, Allan, and Marshall, Wayne. “Controlling Shareholder Servicing Costs.” Harvard Business Review (01/02 1971).Google Scholar
32Zellner, Arnold. “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias.” Journal of the American Statistical Association (06 1962), pp. 348–368.CrossRefGoogle Scholar
33Zellner, Arnold. “On the Aggregation Problem: A New Approach to a Troublesome Problem.” Report #6628, Center for Mathematical Studies in Business and Economics, University of Chicago. In Economic Models, Estimation and Risk Programming: Essays in Honor of Gerhard Tinter, edited by Fox, K. A. et al. New York: Springer-Verlag (1969).Google Scholar