Price Effects of Stock Repurchasing: A Random Coefficient Regression Approach

The Changing Nature of Dividend Policy and Its Implications for the Investor

“…Much of the earlier research was negative. However, a number of later studies by Dielman, Nantell, and Wright [1980], Masulis [1980], Dann [1981], and Vermaelen [1981] took a more positive approach. The seminal study by Ikenberry, Lakonishok, and Vermaelen [1995] gave a conditionally positive response.…”

Statistical Analysis and Forecasting of Economic Structural Change

“…The GLS estimator for (3, based on those variance estimates, is consistent and asymptotically effective. The problem is that the estimator for V may not be nonnegative definite; see Dielman et al (1980). Swamy (1971) discusses this problem and gives some suggestions about how to handle this situation.…”

Stock Repurchases and Securityholder Returns: A Case Study of Teledyne

“…The announcement effects of repurchase tender offers on the market value of corporate securities have been studied by Dann (1981), Vermaelen (1981, 1984), Masulis (1980), Dielman et al (1980), and Bradley and Wakeman (1983), among others. In general, significantly positive and permanent changes in equityholder wealth are found around the announcement of repurchases.…”

“…Thus, although earlier work concludes that, on average, bondholders do not lose in a repurchase, these findings may not apply to individual repurchases. According to Dielman et al's (1980) discussion of repurchases, drawing conclusions from the statistics derived from using a heterogeneous sample ignores the problem that significant price effects for different firms with different purposes may simply be offsetting one another.…”