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Ex-day behavior of Japanese stock prices: New insights from new methodology, Journal of the Japanese and International Economies

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 exday stocks drop by nearly the full amount 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.

Type

Article

Author(s)

Fumio Hayashi, Ravi Jagannathan

Date Published

1990

Citations

Hayashi, Fumio, and Ravi Jagannathan. 1990. Ex-day behavior of Japanese stock prices: New insights from new methodology. Journal of the Japanese and International Economies. 4(3): 401-427.

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