The Ex-Dividend Day Behaviour of Australian Share Prices Before and After Dividend Imputation
- 1 June 1993
- journal article
- Published by SAGE Publications in Australian Journal of Management
- Vol. 18 (1) , 1-40
- https://doi.org/10.1177/031289629301800101
Abstract
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 favoured dividends over capital gains, shareholders have continued to prefer capital gains. One change was the introduction of dividend imputation in 1987. While the market took some time to adjust to dividend imputation, by 1990 shareholders typically obtained 80% of the benefit of the imputed tax credit.Keywords
This publication has 40 references indexed in Scilit:
- Bonus Issues, Share Splits and Ex-Day Share Price Behaviour: Australian EvidenceAustralian Journal of Management, 1987
- A Corrected Statex-Actuaries Daily Accumulation IndexAustralian Journal of Management, 1987
- Ex-Dividend Day Behaviour of Australian Share PricesAustralian Journal of Management, 1986
- The CAPM and Equity Return RegularitiesCFA Magazine, 1986
- Using daily stock returnsJournal of Financial Economics, 1985
- Measuring Abnormal Performance on the Australian Securities MarketAustralian Journal of Management, 1981
- Stock Returns and Dividend Yields: Some More EvidenceThe Review of Economics and Statistics, 1980
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica, 1980
- Imperfect Information, Dividend Policy, and "The Bird in the Hand" FallacyThe Bell Journal of Economics, 1979
- Dividends and taxesJournal of Financial Economics, 1978