Net Share Issues and the Cross‐Section of Equity Returns Under a Dividend Imputation Tax System

21 Pages Posted: 5 Dec 2016

See all articles by Adrian Melia

Adrian Melia

University of Newcastle (Australia)

Paul Docherty

Monash University

Steve Easton

University of Newcastle (Australia) - Newcastle Business School

Date Written: December 2016

Abstract

Despite considerable empirical evidence reporting a negative relationship between net share issuance and subsequent returns, it remains unresolved whether this anomaly is explained by risk or investor irrationality. This study examines the net share issuance anomaly using seasoned equity offerings before and after the introduction of an imputation tax system. We report robust evidence of a negative relationship between net share issuance and returns post‐imputation, but no relationship pre‐imputation. Our results provide evidence to support the international pervasiveness of the net share issuance anomaly, but more importantly suggest that this anomaly may be explained by risk.

Keywords: Net share issuance, Dividend imputation, Anomalies, Fama–French model

Suggested Citation

Melia, Adrian and Docherty, Paul and Easton, Steve, Net Share Issues and the Cross‐Section of Equity Returns Under a Dividend Imputation Tax System (December 2016). Accounting & Finance, Vol. 56, Issue 4, pp. 1097-1117, 2016. Available at SSRN: https://ssrn.com/abstract=2879665 or http://dx.doi.org/10.1111/acfi.12122

Adrian Melia (Contact Author)

University of Newcastle (Australia) ( email )

University Drive
Callaghan, NSW 2308
Australia

Paul Docherty

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Steve Easton

University of Newcastle (Australia) - Newcastle Business School

City Campus East – 231
Newcastle-Upon-Tyne NE1 8ST, NE1 8ST
Australia

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