RESEARCH ARTICLE
Sampling error and the joint estimation of imputation credit value and cash dividend value
Damien Cannavan,
Stephen Gray,
Jason Hall,
Damien Cannavan
College of Business, Illinois State University, Normal, IL, USA
Search for more papers by this authorStephen Gray
UQ Business School, The University of Queensland, St. Lucia, Brisbane, QLD, Australia
Search for more papers by this authorCorresponding Author
Jason Hall
Ross School of Business, The University of Michigan, Ann Arbor, MI, USA
Please address correspondence to Jason Hall via email: [email protected]
Search for more papers by this authorDamien Cannavan,
Stephen Gray,
Jason Hall,
Damien Cannavan
College of Business, Illinois State University, Normal, IL, USA
Search for more papers by this authorStephen Gray
UQ Business School, The University of Queensland, St. Lucia, Brisbane, QLD, Australia
Search for more papers by this authorCorresponding Author
Jason Hall
Ross School of Business, The University of Michigan, Ann Arbor, MI, USA
Please address correspondence to Jason Hall via email: [email protected]
Search for more papers by this authorFirst published: 06 February 2022
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).
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