NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Fumio Hayashi, Ravi Jagannathan

NBER Working Paper No. 3421*
Issued in August 1990
NBER Program(s):   PE

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 exday

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: Journal of the Japanese and International Economies, 4(3): 401-427, December 1990.

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