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• W2164329445 abstract "∗∗∗ ∗∗∗ This study investigates the long-horizon performance of open-market stock repurchases for real estate investment trusts (REITs). We develop a new methodology to model the autocorrelation of monthly returns into long-horizon buyand-hold abnormal return estimators. Serial correlation can introduce bias (autocorrelation bias) because the bid-ask bounce may affect monthly returns for sample firms and non-sample firms in a different fashion. Previous longhorizon event studies have overlooked this source of bias. There is compelling evidence that the market underreacts to the stock repurchase announcements. The evidence holds for different measures of the variance and the effects of cross-correlation of abnormal returns. Results are also robust to the traditional buy-and-hold abnormal return and the wealth relative estimators. We investigate the nature of the underreaction and find strong support for the undervaluation hypothesis. Measuring performance over long horizons can be “treacherous” (Ikenberry, Lakonishok and Vermaelen 1995, Lyon, Barber and Tsai 1999). The existing literature has identified several potential sources of bias that could affect the reliability of test statistics against the null hypothesis of no long-horizon abnormal returns in the presence of major firm’s events (i.e., IPOs, SEOs, stock repurchase announcements and so on). A number of solutions have been suggested. This article develops a new methodology to analyze the long-run performance of real estate investment trusts (REITs) after the announcement of a stock repurchase program. At the outset, an important question to ask is whether it is worthwhile to study REITs as a separate group independently of other financial or industrial firms. One might conjecture that the extensive finance literature should apply equally to this group, hence there is no need for a study specifically designed for this industry (see the literature review in the next section). However," @default.
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• W2164329445 date "2005-06-01" @default.
• W2164329445 modified "2023-10-16" @default.
• W2164329445 title "The Long-Run Performance of REIT Stock Repurchases" @default.
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• W2164329445 doi "https://doi.org/10.1111/j.1540-6229.2005.00122.x" @default.
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