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

Robert Faff, David Hillier and Justin Wood
Additional contact information
David Hillier: University of Strathclyde
Justin Wood: Barclays Global Investors Australia.

Australian Journal of Management, 2000, vol. 25, issue 3, 245-260

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.

Keywords: RISK AND RETURN; IMPUTATION EFFECTS; ASSET PRICING (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:25:y:2000:i:3:p:245-260

DOI: 10.1177/031289620002500301

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