Can managers time the market? Evidence using repurchase price data

Little is known about the prices firms pay for repurchases. We compile a U.S. dataset of actual repurchase prices paid, and we compare that price to the average market price. We find that firms repurchase at significant lower prices than the market average. Firms' ability to time the market varies cross-sectionally: less frequent repurchasers obtain significantly lower prices, as do firms repurchasing when insiders buy on their own account. Also, market timing ability is greater in the face of higher information asymmetry. Controlling for market risk factors, we find that managers' ability to time is limited to short investment horizons.