Study On Market Reaction Of Stock Repurchase Of Listed Company In The Perspective Of Investor Sentiment

Stock repurchase started on 1992.After 20 years of development,Stock repurchase has gradually become one of the important means of capital operation that a listed company to operate.Listed company buy their own shares issued by the company through cash,debt,etc to reduce the registered capital,increase earnings per share,improve the financial leverage,optimize the capital structure,provide equity sources for equity incentives.This paper`s study object is the plan of our country listed company stock repurchase which announced during the period between Jan.1.2008 and Dec.31.2015,and think of the perspective of the investor sentiment to study the market reaction of stock repurchase.First of all,Build investor sentiment index by principal component analysis of six metrics.Secondly,the cumulative abnormal return calculated by the market model as the metric of the market reaction of stock repurchase.Finally,Make the regression analysis of investor sentiment index and cumulative abnormal return.So this paper make some conclusions as follows:(1)Investor sentiment index make significantly negative correlation to cumulative abnormal return in totally.This conclusion means that the higher investor sentiment,the lower market reaction of stock repurchase.In the background that the market is transfer from bull market to bear market,that company which aim is improvement of stock`s price cannot effectively achieve.Because the investor is prone to irrational that means they ignore the analysis of company`s fundamentals;In other word,the lower of investor sentiment,the higher of market reaction of stock repurchase,this means that in the face of the generally lower of the market abnormal return,investors have more active reaction of stock repurchase.(2)Grouped investor sentiment as higher level and lower level,respectively study the relation to the cumulative abnormal return of stock repurchase,and the high level show more significant.but the lower level show non-significant.