Job Market Paper

• Disagreement Resolution Horizon and Open Market Repurchase Program Completion

  This paper examines the puzzling heterogeneity in completion rates of open market repurchase programs, where some announcing firms execute zero repurchases while some complete their programs rapidly. I propose the disagreement resolution horizon hypothesis (DRHH), which argues that completion rates reflect managers’ expectations about when their disagreement with the market will naturally resolve. Using hand-collected data from SEC filings (2004-2022), I document three key findings. First, low-completion firms significantly outperform analyst expectations in years one and two post-announcement, while high-completion firms excel in years three and four. Second, this pattern is reflected in market reactions, with significant positive returns around earnings announcements occurring in corresponding periods. Third, while all announcing firms earn significant long-run abnormal returns, the timing of return realization systematically varies with completion rates. These results suggest that managers strategically balance duration-dependent costs of undervaluation against immediate costs of share repurchases, with their completion decisions signaling the expected timeline of information asymmetry resolution. The findings extend traditional signaling theories by highlighting how the temporal dimension of information asymmetry influences corporate payout policy.

Other Working Papers

• Open Market Repurchase Programs and Systematic Liquidity

  This study examines how open market repurchase (OMR) programs affect firms’ exposure to systematic liquidity shocks and liquidity risk. Consistent with the view of repurchasing firms as buyers of last resort, I find: (1) firms experience a significant decline in liquidity commonality during OMR programs; (2) this decline is temporary, with liquidity commonality reverting to pre-program levels once repurchases end; (3) during these programs, firms stabilize against both variation in the demand for liquidity by institutional investors and variation in the supply of liquidity by market makers; and (4) the temporary reduction in liquidity commonality is accompanied by a temporary reduction in firms’ liquidity risk. Together, these results highlight a less emphasized aspect of OMR programs: the role of firms’ trading activity in shaping their liquidity dynamics and risk exposures.

• Mispricing, Mutual Fund Flows, and Corporate Buybacks

  Using price pressure induced by mutual fund flows, I show that firms significantly adjust their repurchase activity in response to undervaluation. Repurchase behavior is captured both by the likelihood of announcing open market repurchase (OMR) programs and the quarterly amount repurchased. Leveraging the 2003 mutual fund trading scandal as a natural experiment, I provide causal evidence that flow-induced valuation shocks drive repurchase decisions, with instrumental variable estimates revealing stronger effects than standard regressions imply. Further analysis of long-run stock performance reveals that the well-documented buyback anomaly is primarily driven by repurchase announcements following periods of negative fund flows. These findings point to limits to arbitrage as a key explanation for the slow correction of undervaluation in repurchasing firms and demonstrate how fund flows influence both corporate repurchase decisions and the market’s price response to those announcements.

Quantitative finance meets machine learning