Do Open-Market Share Repurchases Supply or Demand Immediacy?

This paper studies whether open-market share repurchases provide or demand immediacy. Our measure for the predicted return from providing immediacy is constructed to be uncorrelated with other potential determinants of daily executions, namely cost minimization, the provision of liquidity, and the strategic use of inside information. In average, repurchase executions provide immediacy but some repurchases demand immediacy. The results are robust to controlling for the aforementioned other potential determinants, and also earlier used measures. Repurchase executions affect the future provision of immediacy through their effect on the inventories of other immediacy providers and, therefore, the effect is smaller after past repurchases.