The value of Australian dividends implied by exchange traded options

Hattersley, Evan. (2004). The value of Australian dividends implied by exchange traded options Honours Thesis, School of Business, The University of Queensland.

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Author Hattersley, Evan.
Thesis Title The value of Australian dividends implied by exchange traded options
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2004
Thesis type Honours Thesis
Total pages 128
Language eng
Subjects 1503 Business and Management
Formatted abstract
The valuation of dividend imputation credits is a currently unresolved issue facing managers, investors and regulators in the Australian market. This thesis builds upon Officer's (1994) cost of capital, under imputation, framework by seeking to identify the value of imputation credits implied by option prices. It extends the existing imputation literature by using widely traded common stock options to derive the implied value of the cash and imputation tax credit components of an individual firm's dividend payments. In doing so the thesis also examines the effect of the regulatory amendment in July 2000 which allows domestic investors to obtain a cash rebate for unused imputation credits. The results indicate that option prices can be used to accurately determine the market value of dividend payments and show the value of attached imputation credits is zero. The findings also show the value of imputation credits is unchanged by the July 2000 cash rebate amendment. This suggests that the marginal investor in the Australian market is foreign, and that cost of capital calculations are unaffected by Australia's imputation tax system.

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Created: Thu, 18 Nov 2010, 16:36:20 EST by Muhammad Noman Ali on behalf of The University of Queensland Library