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Department of Applied Finance and Actuarial Studies

Seminar by Professor Stephen Gray

Research Seminars - business and economics
  • Topic: A competitive Equilibrium Asset Pricing Model with Imputation and Partially Segmented Markets
  • Speaker: Professor Stephen Gray, Professor of Finance, UQ Business School, University of Queensland
  • Venue:
  • When: 10th August, 2012, (Fri)
  • Time:

In a dividend imputation tax system, a tax credit is attached to dividend payments.  These credits reduce the personal tax obligations of domestic investors but are of no value in the hands of foreign investors.  We develop a simulated economy approach to evaluate the factors that affect the extent to which these credits affect asset values.  We find that, other things equal, the credits have a smaller effect on asset values if (a) the domestic economy is relatively small, (b) the domestic economy is a net importer of capital, (c) returns on domestic assets are highly correlated with returns on foreign assets, (d) domestic investors are more risk averse, and (e) borrowing costs are higher.

View the full paper here - A competitive Equilibrium Asset Pricing Model with Imputation and Partially Segmented Markets (PDF, 436KB)pdf icon



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