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Share Repurchase: An Event Study of Companies Listed in the Stock Exchange of Thailand |
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| รหัสดีโอไอ | |
| Creator | Thipparat Pinyatanabat |
| Title | Share Repurchase: An Event Study of Companies Listed in the Stock Exchange of Thailand |
| Contributor | Jumpon Kluaymai-ngarm |
| Publisher | Stamford International University |
| Publication Year | 2567 |
| Journal Title | ASEAN Journal of Management & Innovation |
| Journal Vol. | 11 |
| Journal No. | 1 |
| Page no. | 53 - 67 |
| Keyword | Share Repurchase, Stock Buyback, Event Study, Stock Price Reaction, Thai Stock Market |
| URL Website | https://so13.tci-thaijo.org/index.php/AJMI |
| Website title | AJMI -ASEAN Journal of Management & Innovation |
| ISSN | 2351-0307 |
| Abstract | This study examines the impact of share repurchase announcements on stock prices listed on the Stock Exchange of Thailand (SET) during the period 2018-2023. An event study methodology excluding financials and Market for Alternative Investment (MAI) listings was employed to analyze abnormal returns or price fluctuations around the announcement date. The market model estimated expected returns, with abnormal returns measured in three windows: (-15, 15), (-10, 10), and (-5, 5) days in relation to the announcement. The key findings reveal statistically significant abnormal returns, particularly in the window surrounding the announcement date and those 10 to 15 days after, which align with the first repurchases for some portions of the companies investigated. This suggests potential price movements around both the announcement and the initial repurchase transactions and highlights the importance of analyzing short-term market reactions. It also hints at possible information leakage prior to repurchasing. These results hold implications for both investors, who can utilize this knowledge for potential short-term gains, and regulators, who may need to investigate market dynamics around repurchase announcements and consider measures to ensure a level playing field for all market participants. |
