haku: @author Hillier, D. / yhteensä: 7
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| Tekijä: | Faff, R. Hillier, D. Wood, J. |
| Otsikko: | Taxation and Black's zero-beta strategy revisited |
| Lehti: | Financial Analysts' Journal
2001 : SEP/OCT, VOL. 57:5, p. 57-65 |
| Asiasana: | STOCK MARKETS STOCK RETURNS STRATEGY TAXATION AUSTRALIA USA |
| Kieli: | eng |
| Tiivistelmä: | Fischer Black's strategy of skewing portfolios to low-beta stocks makes sense in non-U.S. markets if a "flat" relationship between beta and return exists in those markets as it does in the U.S. market. Theory suggests, however, that for taxation reasons, the relationship between beta and return will be more sleepy sloped in markets like that of Australia, where dividend-imputation taxation has been adopted, than in the U.S. market, where classical taxation prevails. The authors document empirically that the relationship between beta and return has been, in fact, more sleepy sloped in the Australian market in the postimputation period. |
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