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Sampling error and the joint estimation of imputation credit value and cash dividend value

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  • Damien Cannavan
  • Stephen Gray
  • Jason Hall

Abstract

The value of imputation credits can only be estimated jointly with the value of cash dividends. We show that random variation across samples leads to estimates of credit value that move in the opposite direction to estimates of cash value. Derivative prices suggest a value for credits of 0.01 to 0.20 (0.01 to 0.07 if cash is worth 0.94, and 0.13 to 0.20 if cash is worth 0.87). Ex‐dividend prices suggest a value for credits of 0.23 to 0.46 (0.23 to 0.36 if cash is worth 0.85, and 0.33 to 0.46 if cash is worth 0.75).

Suggested Citation

  • Damien Cannavan & Stephen Gray & Jason Hall, 2023. "Sampling error and the joint estimation of imputation credit value and cash dividend value," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1029-1068, April.
    • Handle: RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1029-1068
    DOI: 10.1111/acfi.12922
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    References listed on IDEAS

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