TY  - JOUR
AU  - Hayashi,Fumio
AU  - Jagannathan,Ravi
TI  - Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3421
PY  - 1990
Y2  - August 1990
UR  - http://www.nber.org/papers/w3421
L1  - http://www.nber.org/papers/w3421.pdf
N1  - Author contact info:
Fumio Hayashi
Hitotsubashi University
Grad. School of International Corporate Strategy
2-1-2 Hitotsubashi, Chiyoda-ku
Tokyo 101-8439
JAPAN
Tel: 81-3-5841-5652
Fax: 1-801-469-0086
E-Mail: fumio.hayashi@gmail.com

Ravi Jagannathan
Kellogg Graduate School of Management
Northwestern University
2001 Sheridan Road
Leverone/Anderson Complex
Evanston, IL 60208-2001
Tel: 847/491-8338
Fax: 847/491-5719
E-Mail: rjaganna@northwestern.edu
AB  - 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.
ER  -