Are imputation credits capitalised into stock prices?

Kai Wei Shaun Siau, Stephen J. Sault, Geoffrey J. Warren

Research output: Contribution to journalArticle

3 Citations (Scopus)


We investigate whether imputation tax credits are capitalised into Australian stock prices by utilising discounted cash-flow valuation models and examining the relation between earnings yields and imputation credit yields. While imputation credits are valuable to many investors, the evidence that they are reflected in share prices is at best mixed and largely unconvincing. Our results reveal that imputation credits fail to lower realised returns casting doubts over whether imputation credits are priced from the perspective of longer-term buy-and-hold investors. If so, such investors can expect to fully benefit from their imputation credits, and imputation effects may not impact on the cost of capital.

Original languageEnglish
Pages (from-to)241-277
Number of pages37
JournalAccounting and Finance
Issue number1
Publication statusPublished - 1 Mar 2015
Externally publishedYes


  • Cost of capital
  • Dividend imputation
  • Share valuation

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