@techreport{NBERw3421,
 title = "Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology",
 author = "Fumio Hayashi and Ravi Jagannathan",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "3421",
 year = "1990",
 month = "August",
 URL = "http://www.nber.org/papers/w3421",
 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.},
}