earticle

영어

This paper examines the investor sentiment and market timing of stock repurchases using 370 samples of Kosdaq market stock repurchase announcements between 2000 and 2007. We employ the framework of Baker and Wurgler (2006) to measure the investor sentiment on stock market. Results of event study are consistent with the previous empirical findings. The cumulative abnormal returns (CARs) using the market model and market-adjusted model between -3 and +3 of the event date are both statistically significant, averaging around 3%. However, the average of twelve-months abnormal returns (CARs and BHARs) are negative that is inconsistent with the underreaction hypothesis of Ikenberry et al.(1995). Our empirical findings are as follows. First, we can find that stock repurchases are more likely to be announced by firms in which investor sentiment is cold. Second, more negative sentiment leads to higher long-term abnormal returns. Also, we find that firms with higher sensitivity to sentiment are tend to have higher long-term abnormal returns after the repurchase announcements. This implies the existence of market timing of repurchasing firms. We found that investor sentiment is important factor for firms to decide stock repurchases,especially for firms with higher sensitivity to sentiment.