Share Repurchasing in Swedish Markets: Noise or Short-Term Value Creation?

Abstract

This thesis examines short-term abnormal returns for Swedish firms announcing share buyback programs and whether specific firm characteristics influence these returns. Using an event study methodology on data from 2010 to 2024, the study applies AR, CAR, and OLS regression metrics. The baseline results reveal positive, statistically significant AR and CAR on the announcement day, supporting semi-strong market efficiency due to the absence of pre-announcement returns. However, the post-announcement results reveal a significant negative AR on the third trading day, while the cross-sectional regression shows that conventional firm characteristics fail to achieve statistical significance. Despite a positive 1.5 percentage point return increase for bundled report disclosures, the overall findings suggest the buyback operates as an independent informational shock that prompts rapid market corrections.