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Finding UK Share Buyback Data and Estimating Bid-Ask Spreads

Article Quant Q&A · Author: Alpha 13
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Summary

The document concerns research data for studying UK open-market share repurchases and bid-ask spreads around repurchase dates over several decades. The researcher seeks alternatives to costly one-off vendor data purchases and initially prefers quoted spreads to volume-based liquidity measures. Responses suggest looking for repurchase releases that can be compiled, considering historical daily price data, and using high-low prices as a basis for estimating spreads when quote data are difficult to obtain.

These are pointers rather than a documented dataset or a tested collection workflow. The suggestions do not establish coverage, accuracy, or historical availability for UK repurchases, and daily high-low estimates are not equivalent to observed bid-ask quotes. The document therefore helps frame possible data sources and a proxy method, while leaving validation and suitability for the intended event study unresolved.

Key ideas

  • The research question requires aligning UK repurchase dates with spread measurements around those dates.
  • Compiling repurchase information from company or index releases is suggested as a possible route.
  • High-low price methods may provide a spread proxy when quote data are unavailable.
  • Daily price histories and spread estimates require checks for coverage and measurement accuracy.

Tags

EquitiesStatisticsMarket microstructureEvent-driven
Full text
# Share Repurchase and Bid ask Spread data


# Share Repurchase and Bid ask Spread data












I am doing a Quantitative Finance PhD and would like some insight on data collection. I'm looking for open market share repurchase data (UK) over the past 2-3 decades. Simultaneously, their bid-ask spread around the repurchase date. I understand that I can calculate liquidity using trading volume method(s) but would initially prefer bid-ask spreads.

I got in touch with a few data vendors and went low on luck. We don't have a bloomberg terminal at the university, and since they don't offer individual subscriptions, they've offered to sell data on an one-off sale. I would like to explore more options before paying for the data. Any suggestions would be helpful.

Best,

Alpha 13

## Answer by Jason Nordwick (score 0, accepted)

https://quant.stackexchange.com/a/16167

I remember reading a paper a while ago about estimating bid/ask spreads through high/low.

http://www3.nd.edu/~scorwin/papers/high-low_spreads.pdf

That might help, because free NBBO data might be hard to come by.

For repurchase data, S&P 500 buybacks are online, but you have to hunt around for the releases and compile it yourself it seems.

http://us.spindices.com/indices/equity/sp-500

## Answer by MattR (score 0)

https://quant.stackexchange.com/a/15424

Yahoo Finance might be the best source, you have a lot of information available, Date Open High Low close Volume Adj Close*.

https://uk.finance.yahoo.com/q/hp?s=VOD.L

## Answer by Jason Nordwick (score 0)

https://quant.stackexchange.com/a/16494

FYI, @Alpha13, if you are still following this, Quantopian, a retail algo platform just added share buy-back data to their data catalog. I'm not affiliated with the company, but thought it might help you:

https://www.quantopian.com/posts/sneak-peek-using-a-quantopian-research-notebook-to-analyze-share-buyback-data

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.