We have previously documented an inconsistency between the dividend yield implied by the Officer (1994) model with standard Australian regulatory parameters and actual dividend yields of Australian companies. We have shown that, within the Officer framework, this inconsistency can be resolved by...

Since 1986 dividend imputation has influenced the ex-dividend day behaviour of Australian share prices. Between 1 April 1986 and 30 May 2004 the Government of the day introduced six major legislative amendments intent on improving the efficiency of the dividend imputation system. This paper...

This study examines the determinants of a firm's decision to utilize a dividend reinvestment plan (“DRP”) and shareholder participation rates under the Australian dividend imputation regime over the period 1995–2009. A DRP enables managers to increase the dividend payout and distribute...

We document shifts in the ex-dividend day pricing of Australian shares that paid cash dividends between 1973 and 1991, and relate these shifts to three major changes in the taxation of capital gains, dividends and superannuation funds. Despite the changes, which on the whole increasingly...

The relationship between cross border taxation and free float home bias is examined. This explicitly recognizes that insider shares are unavailable to foreigners. Other important explanations for home bias – information asymmetry, behavioural and governance issues – are controlled when...

The paper examines the impact of cross border taxation on Australia's free float home bias. The paper controls for various sources of home bias including familiarity, explicit cost, diversification motives and governance issues when examining the impact of cross border tax variables. In our...

Within the last few decades the quickly accelerating globalization processes contributed to rapid increase in the value of the global capital markets, and mergers and acquisitions transactions. This implicated the rising importance of methodologies that enable investors to efficiently value the...

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into the corresponding physical ones. The main theoretical...

The Capital Asset Pricing Model (CAPM) suggests that the market risk premium should be positively related to the market systematic risk as measured by the market variance. However, the empirical evidence is conflicting. While some studies find a significantly positive relation, others find an...