Ex-day behavior of Japanese stock prices: new insights from new methodology
Fumio Hayashi and
No 30, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Journal Article: Ex-day behavior of japanese stock prices: New insights from new methodology (1990)
Working Paper: Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology (1990)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmem:30
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis Contact information at EDIRC.
Bibliographic data for series maintained by Janelle Ruswick ().