Institutional Shareholders' Investment Horizons and Abnormal Returns Following Share Repurchase Announcements - A Product of Market-to-Book Ratios?

Sammanfattning: In this thesis, we evaluate the effects of institutional shareholders' investment horizons on average abnormal returns of companies following share repurchase announcements conditional on market-to-book ratios. We find that institutional investor horizons have insignificant explanatory power in the short-run. However, we find that institutional investor horizons possess significant explanatory power in the-long run for both value and growth stocks. In the case of value stocks, the longer the average investor horizon is, the lower are the abnormal returns following share repurchase announcements. In the case of growth stocks, the longer the average investor horizon is, the higher are the abnormal returns following share repurchase announcements.