Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
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 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.
|Date of creation:||Aug 1990|
|Date of revision:|
|Publication status:||published as Journal of the Japanese and International Economies, 4(3): 401-427, December 1990.|
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