Valuing dividends and imputation credits : the impact of changes in trading patterns around the dividend event.

Shand, Robert. (2003). Valuing dividends and imputation credits : the impact of changes in trading patterns around the dividend event. Honours Thesis, School of Business, The University of Queensland.

       
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Author Shand, Robert.
Thesis Title Valuing dividends and imputation credits : the impact of changes in trading patterns around the dividend event.
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2003
Thesis type Honours Thesis
Total pages 90
Language eng
Subjects 1503 Business and Management
Formatted abstract This thesis examines whether trading patterns in ordinary Australian shares change in the period surrounding the dividend event. The results indicate that there is a significant increase in the proportion of buyer-initiated trades - and a corresponding decrease in the proportion of seller-initiated trades - in the period leading up to the dividend event. As Frank and Jagannathan (1998) recognise, these changes in trading patterns have the potential to distort measurements of the share price drop-off over the dividend event, and therefore limit the ability of researchers to infer the market value of dividends and imputation credits from such measurements.

Further analysis of the changes in trading patterns indicates that the increase in buyer initiated trades during the cum-dividend period is most pronounced in smaller Australian companies, as well as in stocks with high dividend yields. On balance, the evidence suggests that this increase in buyer-initiated trades is caused by tax advantaged domestic investors accelerating intended purchases into the cum-dividend period in order to capture the dividend payment.

 
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Created: Thu, 18 Nov 2010, 15:38:02 EST by Muhammad Noman Ali on behalf of The University of Queensland Library