Capital market reaction to share repurchase announcements : an empirical test on Shanghai Stock Exchange (SSE)

Abstract

This paper designs an event study to empirically test if there is an abnormal return aroused by share repurchase announcements in Chinese capital market. By using the Market Model, we get the data of abnormal returns, cumulative abnormal returns, which are used for 11-day and 21-day windows testing. After the t-tests and the bootstrap tests, the results indicate that there exists a positive relationship between the stock buybacks and the abnormal return surrounding the repurchase announcement date.