In this paper we develop a theoretical model to explain raw returns and abnormal returns. We show that returns can be explained in terms of levels and changes in earnings and dividends. This contrasts with empirical work which typically uses only a subset of these variables. The model also...

This note demonstrates that Ohlson's (1991) earnings capitalisation model is not a new model, but rather a special case of an earlier earnings capitalisation model developed by Miller Modigliani (1961). The special case arises from a "np growth" condition, which is inherent in Ohlson's model....

This paper investigates whether the ex-dividend drop-offs for ADRs differ from the ex-dividend drop-offs of their underlying Australian stocks. An expected source of difference in the valuation of dividends, and hence in the drop-offs, is the availability of imputation tax credits to Australian...