On the Timing and Execution of Open Market Repurchases

Little is known about the timing and execution of open marketrepurchases. U.S. firms are under no obligation to disclosewhen they are trading, and generally report only quarterly changesin shares outstanding. We use 64 firms' supplementally disclosedrepurchase trading data to provide the first examination ofrepurchase timing and execution. Across the days reported inour sample, firms adopted a variety of execution styles rangingfrom immediate intense repurchasing to delayed and smoothedrepurchasing. We find no clear evidence that repurchases aretimed to coincide with, precede, or follow, days on which informationis released. We benchmark the costs and value of a given repurchaseprogram against naive accumulation strategies achieving thesame terminal portfolio. While there is considerable variationacross the firms, NYSE firms on average beat their benchmarks,whereas NASDAQ firms do not. Finally, we document the liquidityimpact of open market repurchases. We find that repurchasingcontributes to market liquidity by narrowing bid-ask spreadsand attenuating the price impact of order imbalances on dayswhen repurchase trades are completed.