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Firm Characteristics And Abnormal Returns During Share Repurchases

Table 1:

No. Variable Ways to measure
1 Debt Ratio Prior month debt to assets ratio. π‘‡π‘œπ‘‘π‘Žπ‘™ 𝑑𝑒𝑏𝑑𝐷𝐸𝐡𝑇 = π‘‡π‘œπ‘‘π‘Žπ‘™ π‘Žπ‘ π‘ π‘’π‘‘π‘ 
2 Dividend Yield Prior month dividend yield. πΆπ‘Žπ‘ β„Ž 𝑑𝑖𝑣𝑖𝑑𝑒𝑛𝑑𝑠 π‘π‘’π‘Ÿ π‘ β„Žπ‘Žπ‘Ÿπ‘’π·π‘ŒπΌπΈπΏπ· = π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘ π‘£π‘Žπ‘™π‘’π‘’ π‘π‘’π‘Ÿ π‘ β„Žπ‘Žπ‘Ÿπ‘’
3 Earnings Per Share Prior month earnings per share. 𝑁𝑒𝑑 π‘–π‘›π‘π‘œπ‘šπ‘’ βˆ’ π‘ƒπ‘Ÿπ‘’π‘“π‘’π‘Ÿπ‘Ÿπ‘’π‘‘ 𝑑𝑖𝑣𝑖𝑑𝑒𝑛𝑑𝑠𝐸𝑃𝑆 = π΄π‘£π‘’π‘Ÿπ‘Žπ‘”π‘’ π‘œπ‘’π‘‘π‘ π‘‘π‘Žπ‘›π‘‘π‘–π‘›π‘” π‘ β„Žπ‘Žπ‘Ÿπ‘’π‘ 
4 Market-To-Book Value Prior month market-to-book value. π‘€π‘Žπ‘Ÿπ‘˜π‘’π‘‘ π‘£π‘Žπ‘™π‘’π‘’ π‘œπ‘“ π‘“π‘–π‘Ÿπ‘šπ‘€π‘‡π΅π‘‰ = π΅π‘œπ‘œπ‘˜ π‘£π‘Žπ‘™π‘’π‘’ π‘œπ‘“ π‘“π‘–π‘Ÿπ‘š
5 Prior Announcements return 𝐢𝐴𝑅(βˆ’20,βˆ’1)
6 Return on Assets Prior month return on assets. 𝑁𝑒𝑑 π‘–π‘›π‘π‘œπ‘šπ‘’π‘…π‘‚π΄ = π΄π‘£π‘’π‘Ÿπ‘Žπ‘”π‘’ π‘‘π‘œπ‘‘π‘Žπ‘™ π‘Žπ‘ π‘ π‘’π‘‘π‘ 
7 Firm Size Logarithm previous month’s market capitalization before the announcements.
8 Debt Ratio x Firm Size Multiply debt ratio by firm size.
9 Dividend Yield x Firm Size Multiply dividend yield by firm size.
10 Earnings Per Share x Firm Size Multiply earnings per share by firm size.
11 Market-To-Book Value x Firm Size Multiply market-to-book value by firm size.
12 Prior Announcement Returns x Firm Size Multiply prior announcement returns by firm size.
13 Return on Assets x Firm Size Multiply return on assets by firm size.
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