Authors
Fumio Hayashi
Ravi Jagannathan
Ex-Day Behavior of Japanese Stock Prices: New Insights From New Methodology
Abstract
We study the ex-dividend day behavior of Japanese stock prices for the period 1983–87. We find that, contrary to previous findings, prices of ex-day stocks drop by nearly the <I>full amount</I> of the dividend. However, ex-day stocks shows an abnormal return. Also, for the many ex-dividend day stocks that also go ex-rights on the same ex-day, we find that the return is on average higher than that for stocks without rights issues. We thus conclude that the ex-day behavior of Japanese stocks are qualitatively similar to that of U.S. stocks.
Published In: <em>Journal of Japanese and International Economics</em> (Vol. 4, No. 4, December 1990, pp. 401-427) <a href='https://doi.org/10.1016/0889-1583(90)90019-3' target='_blank'>https://doi.org/10.1016/0889-1583(90)90019-3</a><br>
