Beta and Return: Implications of Australia's Dividend Imputation Tax System

Robert Faff, David Hillier, Justin Wood

Research output: Contribution to journalArticleResearchpeer-review

6 Citations (Scopus)

Abstract

US studies have consistently reported that the relationship between beta and return is less steeply sloped than that implied by the simple CAPM. The introduction of a dividend imputation tax system in Australia and other tax law differences suggest the relationship between beta and return may be more steeply sloped in this country. Empirical evidence subsequent to the introduction of the dividend imputation tax system in July 1987 supports this hypothesis. Further, it is found that no such change occurs in the US market over this time period, which strengthens the conclusion that the finding is tax-driven.

Original languageEnglish
Pages (from-to)245-260
Number of pages16
JournalAustralian Journal of Management
Volume25
Issue number3
DOIs
Publication statusPublished - Dec 2000
Externally publishedYes

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