Tax effects on the pricing of Australian stock index futures
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چکیده
The first study for this dissertation develops a tax-adjusted cost-of-carry model for Australian stock index futures and estimates the value of the debt tax shield, cash dividends and imputation tax credits flowing from the basket stocks in the index. As discussed in the previous chapter, the study relaxes the assumption made in previous research that interest and dividends receive the same tax treatment as capital gains on stocks. Empirical evidence is provided using two important changes to the tax regime which provide for ‘natural experiments’: a reduction in the capital gains tax rate from 1 July 1999 and the introduction of tax rebates for unused franking credits from 1 July 2000. The results of the study relate to a broad-based market portfolio that is directly relevant to index fund managers.
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