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Australian Tax Changes and Dividend Reinvestment Announcement Effects: A Pre- and Post-Imputation Study
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Keith K.W. Chan, Damien W. McColough and Michael T. Skully
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Abstract
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This paper used an event study approach to examine the impact of dividend reinvestment plans on shareholders' returns in the pre- and post-imputation environments. The daily share return behaviour indicated that the announcement to introduce a dividend reinvestment plan (DRP) was received indifferently by the market before 1 July 1988, but was valued positively after superannuation funds were able to benefit from the imputation credits. Moreover, the simple market-adjusted returns model and the market model had similar power in detecting abnormal returns in an Australian context.
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Keywords
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DIVIDEND REINVESTMENT PLAN; IMPUTATION; ANNOUNCEMENT EFFECTS.
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Contact Details
Keith K.W. Chan
School of Finance and Economics
University of Technology, Sydney
PO Box 123
Broadway NSW 2007
Damien W. McColough
School of Banking and Finance
University of New South Wales
PO Box 1
Kensington NSW 2033
Michael T. Skully
School of Banking and Finance
Monash University
PO Box 197
Caulfield East VIC 3145
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The authors gratefully acknowledge helpful comments and suggestions on an earlier draft by Cedric Davies, Ah Boon Sim and two anonymous referees.
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