Cross-sectional differences in the liquidity effects of open market share repurchases

I examine liquidity changes associated with open market share repurchases, with the focus on potential cross-sectional variations of liquidity effects. I hypothesize that a liquidity change, either a decrease or an increase, will be larger in a firm with a higher degree of pre-announcement information asymmetry. Results suggest that the null hypothesis of no liquidity change cannot be rejected. In particular, there is no evidence for cross-sectional variation of liquidity changes across firms with differing degrees of information asymmetry. Special/thanks go to Kim Woo Choong, former chairman of DAEWOO Group, and Park Chung Kil for their support.