We examine the implications of the imputation system for stock prices and returns, cost of capital, project evaluation, capital structure, payout policy and investor portfolios. We also discuss potential impacts if the imputation system was dismantled or adjusted, perhaps in conjunction with a...

A costly arbitrage model, developed for the Australian imputation tax system, shows that stocks paying dividends with a tax credit are likely targets for ex-dividend arbitrage. We show that order imbalance, based on the direct observation of buyer and seller initiated trades, is a key factor in...

WThis paper uses the trading records of institutional equity funds to examine their ex-dividend trading behavior. There are two classes of funds in the study, which differ in their tax-induced preferences for dividends. The funds engage in both short-term and long-term trading about the...

This study uses the trading records of institutional equity funds to examine their ex-dividend trading behaviour. We argue that trading is influenced by the tax incentives facing the fund, the characteristics of individual stocks and by changes in tax legislation. In aggregate, institutions...

Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into active and passive components. We find that while fund style tilts are consistent with their self-stated investment objective, there is variation in the degree of style bias within...