The Capitalization Effect of Imputation Credits on Expected Stock Returns
构建了一个考虑投资者风险容忍度异质性的均衡模型，利用澳大利亚数据证实归集抵免收益率与次年股票收益负相关，且该关系受个股特质风险、规模和换手率影响。
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.