Do Ex-Dividend Drop-Offs Differ Across Markets? Evidence from Internationally Traded (ADR) Stocks
|Author(s):||VT Alaganar, Graham Partington & Max Stevenson|
|Date of publication:||October 1999|
|Working paper number:||92|
This paper investigates whether the ex-dividend drop-offs for ADRs differ from the ex-dividend drop-offs of their underlying Australian stocks. An expected source of difference in the valuation of dividends, and hence in the drop-offs, is the availability of imputation tax credits to Australian resident investors. Valuation differences across markets present an arbitrage opportunity, but we hypothesize that transactions costs and risk will inhibit arbitrage and that the valuation difference will persist. Our results are consistent with this hypothesis. The ADRs have lower drop-offs and behave more like stocks taxed under a classical system than the underlying Australian stocks.
|Paper:||Download (Format: PDF, Size: 265 Kb)|
|Known citations:||Anderson, H. D., Rose, L. C. and Cahan, S. F., 2004, "Odd-lot Costs and Taxation Influences on Stock Dividend Ex-dates", Journal of Business Finance and Accounting, 31(9-10), 1419-1448.|