The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Anomalous Price Behavior Around Repurchase Tender Offers
Published: 06/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb03698.x
JOSEF LAKONISHOK, THEO VERMAELEN
This paper reports anomalous price behavior around repurchase tender offers. Buying shares before the expiration date of a repurchase tender offer and tendering to the firm produces, on average, abnormal returns of more than 9 percent over a period shorter than one week. In addition, we find that repurchasing companies experience economically and statistically significant abnormal returns in the two years after the repurchase. The upward price drift is mainly caused by the behavior of the small firms in the sample.
Tax Reform and Ex‐Dividend Day Behavior
Published: 09/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02289.x
JOSEF LAKONISHOK, THEO VERMAELEN
This paper investigates the effect of a major Canadian tax reform on the ex‐dividend day behavior of companies on the Toronto Stock Exchange. The results are inconsistent with the hypothesis that price changes on ex‐dividend days reflect the relative taxation of dividends and capital gains for the “representative” investor, but are consistent with the hypothesis that ex‐dividend day price behavior reflects short‐term trading activities.
Stock Repurchases in Canada: Performance and Strategic Trading
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00291
David Ikenberry, Josef Lakonishok, Theo Vermaelen
During the 1980s, U.S. firms announcing stock repurchases earned favorable long‐run returns. Recently, concerns have been raised over the robustness of these findings. This concern comes at a time of explosive growth in repurchase programs. Thus, we study new evidence from the 1990s for 1,060 Canadian repurchase programs. Moreover, because of Canadian law, we can carefully track repurchase activity monthly. Similarly to the situation in the United States, the Canadian stock market discounts the information in repurchase announcements, particularly for value stocks. Completion rates in Canada are sensitive to mispricing. Trades also appear linked to price movements; managers buy more shares when prices fall.
Stock Prices and Financial Analysts' Recommendations
Published: 03/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb03634.x
JAMES H. BJERRING, JOSEF LAKONISHOK, THEO VERMAELEN
The recommendations of a Canadian brokerage house are evaluated by a number of techniques. The results reveal that an investor following the recommendations would have achieved significantly positive abnormal returns, even after allowing for transactions cost.