The valuation and determinants of franking account balances
研究了红利抵免余额是否被市场定价，发现其价值随公司规模增大而增加，每1美元抵免对应1.4美元公司价值，且受国际所有权和个体所有权影响。
Purpose Are franking credit balances priced? This paper aims to investigate the valuation of franking credit balances via a determinant analysis and value relevance analysis. Design/methodology/approach The determinant analysis examines the factors that contribute to the increasing cumulative level of franking credit balances. Value relevance studies explore whether franking credit balances are priced in the market. Findings The results provide strong evidence of a size effect that the level of franking credit balances increases with firm size and weak evidence of an international focus effect that the level of franking credit balances increases with international ownership. They also find an individual dividend clientele effect that the level of franking credit balances decreases with individual ownership. They find significant evidence that franking credit balances are priced in the market. One dollar of franking credit is worth 1.4 dollars in firm value. That franking balances are capitalized at more than their face value suggests that franking credits signal firms' future dividend policy. They also find that the market valuation of franking balances increases with firm size but decreases with international focus. Originality/value This study provides direct evidence that franking credit balances are capitalized into equity prices. In the determinant analysis, this paper improves Heaney's (2009) model by using the percentage of international ownership as the proxy of international focus, thus addressing the limitation of his measure. In the value relevance tests, the study uses a modified model that includes log-transformation to reduce the skewness of variables based on Tanza's (2014) value relevance model. Moreover, the study suggests that the market valuation of franking credit balances increases with firm size, which contradicts Heaney's (2009) findings.