Taxes, international clienteles and the value of ADR dividends

The values of ADR dividends are estimated from the period when, due to different ex-dividend dates, the ADRs and their underlying Australian stocks trade with differential dividend entitlements. These estimates of ADR dividend values are significantly less noisy than traditional exdividend estimates. The ADR dividends are valued at less than their face value and the dividends on the stocks at more than their face value. This is consistent with the ADRs being held by U.S. investors placing little value on the imputation tax credits attached to the dividends and the converse for Australian resident investors.