Long-run returns following open market share repurchases William J. McNally, Brian F. Smith * Financial Services Research Centre, School of Business and Economics, Wilfrid Laurier University, 75 University Avenue West, Waterloo, Ont., Canada N2L 3C5 Received 11 November 2004; accepted 4 April 2006 Available online 31 July 2006 Abstract Past studies find abnormal returns to buying after repurchase program announcements. We ana- lyze the profitability of trading after both program announcements and individual repurchase trade publication using different trading strategies – market and limit orders. The analysis of trades is pos- sible because of a unique Canadian data set. The highest abnormal returns are earned by companies on their own repurchase trades which benefits the non-tendering shareholders. For the public inves- tor, we find no strategies that, in practice, would earn abnormal returns to buying after program announcements. However, there is qualified evidence of abnormal returns to a limit order strategy following publication of individual repurchase trades. Ó 2006 Elsevier B.V. All rights reserved. JEL classification: G14; G35 Keywords: Repurchase; Long-run returns; Transaction costs 1. Introduction Past studies have documented abnormal long-run rates of return following repurchase program announcements (Ikenberry et al., 1995, 2000; Chan et al., 2004). Those studies 0378-4266/$ - see front matter Ó 2006 Elsevier B.V. All rights reserved. doi:10.1016/j.jbankfin.2006.04.002 * Corresponding author. Tel.: +1 519 884 0710x2953; fax: +1 519 884 1015. E-mail address: bsmith@wlu.ca (B.F. Smith). Journal of Banking & Finance 31 (2007) 703–717 www.elsevier.com/locate/jbf