Abstract
AbstractThe 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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