The Nature and Persistence of Buyback Anomalies
用新数据证明股票回购异常现象并未随时间消失，并发现其源于市场对坏消息的过度反应，分析师评级下调与长期盈利预测过于悲观导致股价低估，套利机会因市场按平均投资者而非边际投资者定价而持续存在。
Using recent data, we reject the hypothesis that the buyback anomalies first reported by Lakonishok and Vermaelen (1990, Journal of Finance 45:455--77) and Ikenberry, Lakonishok, and Vermaelen (1995, Journal of Financial Economics 39:181--208) have disappeared over time. We find evidence consistent with the hypothesis that open market repurchases are a response to a market overreaction to bad news: significant analyst downgrades, combined with overly pessimistic forecasts of long-term earnings. Stock prices after tender offers are set as if all investors tender their shares, but empirically they do not. Thus, the arbitrage opportunity persists because the market sets prices as if the average, not the marginal investor, determines the stock price. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.