// STUDY RESULT · 1997-01 TO 2026-07
Buyback Announcement Drift
NO EDGEFirms announcing open-market buyback programs kept outperforming for years after the announcement, mostly among value (high book-to-market) stocks, as if the market underreacted to the signal.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 4.0% | 8.0% |
| Return per unit of risk (Sharpe) | 0.30 | 0.58 |
| Worst fall (max drawdown) | -55.6% | -52.6% |
// GROWTH OF $1, LOG SCALE
AMBER: THE STRATEGY · GREY: $SPX BUY & HOLD
Tested on years it never saw (from the split): 7.9% a year against 12.4% for the benchmark; Sharpe 0.17 in the training years, 0.44 after.
After 25 bps of trading costs: 3.0% a year. WITHIN RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 0.0% | 21.1% |
| 2000s | -1.8% | -2.6% |
| 2010s | 6.1% | 11.6% |
| 2020s | 11.8% | 14.1% |
// THE IDEA, AS PUBLISHED
Ikenberry, Lakonishok & Vermaelen (1995), JFE · 1995
- Buy after an open-market repurchase announcement
- Concentrate on high book-to-market announcers
- Hold up to 4 years
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 19:41 ON THE QUANTGPT WAREHOUSE: EVERY DELISTED NAME KEPT, FUNDAMENTALS AS FILED. NOT INVESTMENT ADVICE.