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A Corrected Statex-Actuaries Daily Accumulation Index

Author

Listed:
  • Ray Ball

    (The William E. Simon School of Business, University of Rochester.)

  • John Bowers

    (The Australian Graduate School of Management.)

Abstract

The Statex-Actuaries Daily Accumulation Index is the only index for Australian equity markets which incorporates dividends, has daily observations, and has a long sample period. It is thus of considerable interest to researchers in finance who need to work with daily data. Unfortunately, a peculiarity in the design of the index means that it does not provide a true measure of daily total returns to equity. For example, on approximately 40% of days covered by the index, the accumulation return exceeds the corresponding price return. This is logically absurd, since dividends are not negative. The paper describes the index, identifies the problem in its construction, devises a method for overcoming this problem, and provides a computer program to implement this method.

Suggested Citation

  • Ray Ball & John Bowers, 1987. "A Corrected Statex-Actuaries Daily Accumulation Index," Australian Journal of Management, Australian School of Business, vol. 12(1), pages 1-8, June.
    • Handle: RePEc:sae:ausman:v:12:y:1987:i:1:p:1-8
    DOI: 10.1177/031289628701200101
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    Citations

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    Cited by:

    1. Tim Brailsford & John C. Handley & Krishnan Maheswaran, 2008. "Re‐examination of the historical equity risk premium in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(1), pages 73-97, March.
    2. Brailsford, Timothy J. & Faff, Robert W., 1997. "Testing the conditional CAPM and the effect of intervaling: A note," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 527-537, December.
    3. Philip Brown & Alex Clarke, 1993. "The Ex-Dividend Day Behaviour of Australian Share Prices Before and After Dividend Imputation," Australian Journal of Management, Australian School of Business, vol. 18(1), pages 1-40, June.
    4. Stephen Easton, 1990. "Returns to Equity Before and After Holidays: Australian Evidence and Tests of Plausible Hypotheses," Australian Journal of Management, Australian School of Business, vol. 15(2), pages 281-296, December.
    5. David Walsh & Glenn Yu-Gen Tsou, 1998. "Forecasting index volatility: sampling interval and non-trading effects," Applied Financial Economics, Taylor & Francis Journals, vol. 8(5), pages 477-485.
    6. Don Anderson & Andrea Haynes & Richard Heaney, 1994. "Company Takeovers and Equity Returns: The Target Size Effect," Australian Journal of Management, Australian School of Business, vol. 19(1), pages 1-30, June.

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