The information content of open-market repurchase announcements in Taiwan

• This paper examines information content of open-market repurchase announcements in Taiwan.
• Intention ratio is positively correlated with 2-day announcement effect and the market responses of entire execution period.
• Price location is significantly negative when related to market responses of the overall execution period.
• Such relationship can last longer.
• The interaction between price location and market responses is resulted from higher premium not undervaluation.

Utilizing information disclosures of open-market repurchases in Taiwan, this paper investigates two topics. The first is the association between corresponding announcing information and market responses. The results show that intention ratio is positively correlated with two-day announcement effect and the market responses of the entire execution period. However, the positive relationship is insignificant one month after the termination of the programs. The findings also reveal that price location is significantly negative when related to market responses of the overall execution period, and that such a relationship can last longer. Second, while proxy for undervaluation is properly considered, our findings suggest that the interaction between price location and market responses resulted from a higher premium rather than undervaluation, indicating that price location sends a signal of premium.