Net Share Issues and the Cross-Section of Equity Returns under a Dividend Imputation Tax System

Melia, A., Docherty, P., & Easton, S. (2016). Net share issues and the cross‐section of equity returns under a dividend imputation tax system. Accounting & Finance, 56(4), 1097-1117.

35 Pages Posted: 1 Aug 2019

See all articles by Adrian Melia

Adrian Melia

University of Newcastle (Australia)

Paul Docherty

The Brattle Group

Stephen Andrew Easton

University of Newcastle

Date Written: 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 paper 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

JEL Classification: G12, G14

Suggested Citation

Melia, Adrian and Docherty, Paul and Easton, Stephen Andrew, Net Share Issues and the Cross-Section of Equity Returns under a Dividend Imputation Tax System (2016). Melia, A., Docherty, P., & Easton, S. (2016). Net share issues and the cross‐section of equity returns under a dividend imputation tax system. Accounting & Finance, 56(4), 1097-1117., Available at SSRN: https://ssrn.com/abstract=3428183

Adrian Melia (Contact Author)

University of Newcastle (Australia) ( email )

University Drive
Callaghan, NSW 2308
Australia

Paul Docherty

The Brattle Group ( email )

44 Brattle Street
3rd Floor
Cambridge, MA 02138-3736
United States

Stephen Andrew Easton

University of Newcastle ( email )

University Drive
Callaghan, nsw 2308
Australia

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