Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
การตอบสนองของตลาดหุ้นกู้ต่อการประกาศซื้อหุ้นคืน
Year (A.D.)
2019
Document Type
Independent Study
First Advisor
Kanis Saengchote
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2019.67
Abstract
I reexamine the bond market reaction to share repurchase announcement. The wealth transfer hypothesis suggests that shareholders expropriate wealth from debtholders hence the debtholders should react negative to this news. I collect daily yield-to-maturity of corporate bond during 2005-2019 to calculate excess change in bond yield spread and classify bond characteristics into five subsamples which are sensitive to the wealth redistribution effect: payment rank, issuer rating, bond rating, bond maturity, and size of repurchase. However, I do not find evidence supporting wealth redistribution effect in all bond attributes. Moreover, firm ratings of repurchasing firms are less likely to be downgraded no matter three months, six months, nine months, or twelve months after repurchase announcements compared to non-repurchasing firms.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Kitjakarnkoson, Phasaporn, "Bond market reaction surrounding share repurchase announcement" (2019). Chulalongkorn University Theses and Dissertations (Chula ETD). 6933.
https://digital.car.chula.ac.th/chulaetd/6933