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Ex-day behavior of Japanese stock prices: new insights from new methodology

Fumio Hayashi and Ravi Jagannathan

No 30, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis

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 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.

Keywords: Stock - Prices - Japan; Japan (search for similar items in EconPapers)
Date: 1990
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