What do market participants learn from share repurchases? Evidence from a return decomposition
通过分解股票收益，研究美国上市公司回购公告后现金流和资本成本的动态变化，发现资本成本显著下降而现金流不变，尤其对低估公司影响最大，有助于理解市场如何从回购中获取信息。
This paper analyzes cash flow and cost of capital dynamics around share repurchase announcements of publicly traded US firms by decomposing stock returns into news related to cash flows and discount rates. After repurchase announcements, the cost of capital decreases significantly, while cash flows do not change. The decrease in the cost of capital is largest for firms that appear underpriced. These firms also experience the highest long-term returns after repurchase announcements. The findings suggest that market participants learn about a temporary overestimation of the cost of capital when firms announce share repurchases.