The Impact of Share Repurchases on Stock Returns and Financial Ratios: Evidence from SET100 Companies, January 2024–June 2025
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Abstract
This study examines the effects of share repurchase announcements on stock returns and financial ratios of firms listed in the SET100 index during January 2024 to June 2025, a period in which the Thai stock market significantly underperformed global markets. An event study methodology is employed with an event window of 15 trading days before and after the announcement date (t–15 to t+15) and an estimation window of 120 trading days prior to the announcement.
The results indicate that share repurchase announcements are associated with statistically significant positive abnormal returns in the short period surrounding the announcement date (t+0 and t+1), as well as during certain pre-announcement periods. However, cumulative abnormal returns do not provide evidence of sustained value creation over the event window.
The analysis of financial ratios—earnings per share (EPS), return on equity (ROE), debt-to-equity ratio (D/E), and price-to-book value ratio (P/BV)—based on paired t-tests and Wilcoxon signed rank tests reveals no statistically significant changes, except for a marginal decline in the P/BV ratio. Overall, the findings suggest that share repurchases by SET100 firms during a market downturn primarily function as a short-term signaling mechanism rather than a tool for long-term value creation. This study contributes to the literature by providing evidence from an emerging market context and offers implications for investors, corporate managers, and capital market regulators.
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