Abstract Corrado and Su (1996) provide skewness kurtosis adjustment terms for the Black‐Scholes model, using a Gram‐Charlier expansion of normal density function. In this note we correction to expression coefficient illustrate effect on call option prices error found.

This paper investigates the price and volume behaviour around announcement of a type off-market repurchase (equal access repurchases) in Australia. In contrast to US studies which document abnormal returns 8% for repurchases, we find much smaller but significant 1.2% on date equal repurchases. The evidence suggests that are related discount-to-market at offer is made (which reflects special taxation arrangements). We also dramatic increase trading subsequent day argue this may be motivated...

Abstract Contracts for Difference (CFDs) are a significant financial innovation in the design of futures contracts. Over‐the‐counter trading UK is and has created controversy, but there no published academic research into design, pricing, effects CFDs. This study analyzes CFD contract pricing. It uses unique database trades quotes on exchange traded equity CFDs introduced by Australian Securities Exchange to test theoretical pricing relationships, draws out implications successful...

Abstract In designing off‐market (self‐tender offer) share repurchases, Australian companies must consider the resulting potential tax benefits for different investor groups with consequent effects upon supply of stock tendered by holders and ultimate tender outcome. We develop estimate a model curve that demonstrates less than perfect elasticity incomplete arbitrage arising from ‘participation risk’ arbitrageurs. are able to extent disequilibrium in prices involved fixed‐price repurchases...

In a perfect capital market firms are indifferent to either dividends or repurchases as payout mechanisms, suggesting that the two methods should be substitutes. Empirical research at single country level, well cross studies, provide evidence and act substitutes (the dividend substitution hypothesis), tax treatment of versus gains affects this relation. A ustralia, which operates under full imputation system, has types repurchases: on‐ off‐market. On‐market taxed while off‐market comprise...

Abstract This study investigates management choice of repurchase method for large Australian industrial companies from 1997 to 2007. We show that managers favour off‐market buybacks distribute excess franking credits shareholders when the buyback is larger and firm generating more cash. On‐market are likely undervalued. These findings have implications understanding how corporate approach decision, impact taxes on financial policy, transaction costs can influence between an on‐market buyback.

ABSTRACT In Australia, equal access share buybacks can be structured so that a portion of the buyback price is designated as fully franked dividend. The tax benefits derived from this structure imply off‐market are sometimes offered to shareholders at discount current market price. This in contrast United States, which operates under classical taxation system, and where generally executed premium situation Australia provides unique opportunity add our understanding explanations for how why...

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We classify institutional investors into short-term and long-term based on their portfolio turnover show that the positive relation between ownership firm cash holdings is mainly driven by investors. However, negative less robust. The effect of both types amplified for growth firms compared to mature firms. Overall, our findings are consistent with precautionary motive holding but do not support notion mitigates agency costs associated holdings.

Abstract Off‐market share buybacks in A ustralia are often structured with the buyback price comprising a large dividend component (which may carry imputation tax credits) and small capital component. This unique structure has consequence that institutions on low rates stand to benefit most from selling shares into buyback. In this article, we explore evidence of abnormal trading activities around key dates conduct off‐market investigate drivers these activities. We find initial announcement...

Abstract We examine misvaluation as a driver of takeover activity in Japan. Mirroring empirical results from the United States, we find that overvaluation is an important factor affecting dichotomy between acquirers and nonacquirers Being affiliated to keiretsu group appears reduce probability overvalued firm will decide acquire another firm. Misvaluation also determinant likelihood becoming target; however, there no significant difference nonkeiretsu firms this regard. Shareholders...

This paper estimates the size of economic impact generated by Slovenian health care sector on national economy in 2009–2014 period. The study separately calculates output, income, employment, value-added and import multipliers for based input-output analysis covering 49 sectors. Initially, values simple output all years are estimated. When re-circulation final demand through households is added to direct indirect effects, total considerably exceeds 2. results suggest that an additional...

Contracts for Difference (CFDs) represent a significant financial innovation in the design of futures contract. Their use over-the-counter markets has grown significantly and created controversy UK, but to date there have been no published academic studies examining CFD markets. In 2007, Australian Securities Exchange (ASX) introduced exchange-traded CFDs on individual stocks other instruments. This paper analyzes contract consequences pricing relationships between underlying stocks. Using...

Using data prior to the Jobs & Growth Tax Relief Reconciliation Act of 2003 Grullon and Michaely (2002) find that firms in US are financing repurchases with funds would otherwise have been used increase dividends. This finding supports hypothesis substituting from dividends towards repurchases. paper examines relation between share dividend changes a non-classical tax environment, where not disadvantaged relative capital gains. We repurchase yield is positively related increases, suggesting...

Abstract Using daily ownership data, this study documents median participation rates for retail and institutional shareholders in rights offers Australia of 60% 94%, respectively. At the median, issue results 0.25% (1.34%) value firm market capitalization (offer size) being transferred from to shareholders. Retail shareholder is higher renounceable offers, with larger discount those made by firms lower risk. Companies above perform better long run. The suggest that, on average, make rational...

Purpose – The purpose of this study is to explain rationale for regulatory change in Australia and New Zealand after the global financial crisis. Design/methodology/approach Outline changes relate crisis experience shortcomings exposed. Findings Regulatory was driven primarily by need, as capital importing nations, comply with emerging standards, different approaches both nations are also related domestic political considerations. Research limitations/implications process response ongoing....