Ex-day behavior of japanese stock prices: New insights from new methodology
AbstractWe 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 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of the Japanese and International Economies.
Volume (Year): 4 (1990)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/inca/622903
Other versions of this item:
- Fumio Hayashi & Ravi Jagannathan, 1990. "Ex-day behavior of Japanese stock prices: new insights from new methodology," Discussion Paper / Institute for Empirical Macroeconomics 30, Federal Reserve Bank of Minneapolis.
- Fumio Hayashi & Ravi Jagannathan, 1990. "Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology," NBER Working Papers 3421, National Bureau of Economic Research, Inc.
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