valuation of DAX futures contracts and test the resulting hypotheses empirically. We find that dividend taxation cannot explain … these deviations. Futures prices are lower in years with higher dividend yields, and prices of the June contract (which is …. Multivariate regressions confirm the finding that dividend taxation affects futures prices. …

fully-franked dividend. This is a problem because a sample of security prices, unfranked dividends and franked dividends … necessarily leads to the simultaneous estimation of the value of a cash dividend and an imputation credit. We measure the value of …