Read the working paper
INSEAD Working Paper 2016/21/DSC/FIN
We re-examine the behavior of stock returns after net issue announcements using the fivefactor model proposed by Fama and French (2015a). We confirm their findings that the equity issue anomaly disappears with the five-factor model, but the buyback anomaly does not. Buyback announcements by firms with high pre-announcement (idiosyncratic) volatility are followed by higher long-term abnormal returns. This is inconsistent with the widely documented low volatility anomaly, but consistent with Stambaugh, Yu, and Yuan (2015) who find a positive relation between stock returns and idiosyncratic volatility for undervalued stocks.