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Ex-Day Behavior of Japanese Stock Prices: New Insights From New Methodology

Discussion Paper 30 | Published July 1, 1990

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Authors

Fumio Hayashi

Ravi Jagannathan

Ex-Day Behavior of Japanese Stock Prices: New Insights From New Methodology

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.


Published In: Journal of Japanese and International Economics (Vol. 4, No. 4, December 1990, pp. 401-427) https://doi.org/10.1016/0889-1583(90)90019-3