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- W4220781563 abstract "This paper develops an equilibrium model featuring heterogeneity in investor risk tolerance across different risk sources. Using Australian data, it confirms the theoretical predictions of the model by showing that a higher imputation credit yield in one year leads to a lower stock return in the next year. This negative relationship between imputation credit yield and stock return is weaker for stocks with higher idiosyncratic risk, larger size, and higher trading turnover. Our theoretical and empirical evidence favours the aggregation approach in explaining the capitalization effect of imputation credits over the marginal investor approach." @default.
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- W4220781563 date "2022-02-28" @default.
- W4220781563 modified "2023-09-27" @default.
- W4220781563 title "The Capitalization Effect of Imputation Credits on Expected Stock Returns" @default.
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- W4220781563 doi "https://doi.org/10.1111/abac.12249" @default.
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