The imputation credit component of Australian hybrid security yields

Gill, Angela C. (2005). The imputation credit component of Australian hybrid security yields Honours Thesis, School of Business, The University of Queensland.

       
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Author Gill, Angela C.
Thesis Title The imputation credit component of Australian hybrid security yields
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2005
Thesis type Honours Thesis
Total pages 61
Language eng
Subjects 1503 Business and Management
Formatted abstract This thesis values imputation credits distributed with dividend payments on Australian hybrid capital. The value of imputation credits in this setting is implied using estimated yields of hybrid securities distributing franked dividends from 2004 to 2005. The difference between the yield of a franked hybrid and the yield of a comparable security, ideally a hybrid issue with identical characteristics except that it has a different level of franking, is attributable to the value of the imputation tax credit. The value of imputation credits attached to Australian hybrid securities is implied in this manner. Two proxies are employed for the comparable security yield, an adjusted bond yield representative of a similar level of default risk, and the yield of a matched unfranked hybrid issue within the sample. Two bootstrap techniques are conducted to ensure a robust confidence interval for the implied value of the imputation credits. A sample of hybrid yield estimates that do not include the value of the conversion option is included as an additional robustness check. This thesis finds that imputation credits distributed with dividend payments on Australian hybrid capital were valued at 61.6 percent of their face value, with a 90 percent confidence interval that ranged between 59.6 and 63.5 percent.

 
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Created: Wed, 10 Nov 2010, 12:26:05 EST by Muhammad Noman Ali on behalf of The University of Queensland Library