We study the ex-dividend day behavior of Japanese stock prices on the ex-day in March, when most stocks simultaneously go ex-divided, for the period 1983-1987. We find a positive abnormal return for stocks that go ex-dividend. However, prices drop by nearly the full amount of the dividend. However, prices drop by nearly the full amount of the dividend once the common abnormal return is subtracted from individual returns. For the many ex-dividend day stocks that also go ex-rights on the same March ex-day, we find that the return is on average higher than that for stocks without rights issues.
|Original language||English (US)|
|Number of pages||27|
|Journal||Journal of The Japanese and International Economies|
|State||Published - Dec 1990|
ASJC Scopus subject areas
- Economics and Econometrics
- Political Science and International Relations