Ex-day behavior of japanese stock prices: New insights from new methodology

Fumio Hayashi*, Ravi Jagannathan

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

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 languageEnglish (US)
Pages (from-to)401-427
Number of pages27
JournalJournal of The Japanese and International Economies
Volume4
Issue number4
DOIs
StatePublished - Dec 1990

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations

Fingerprint Dive into the research topics of 'Ex-day behavior of japanese stock prices: New insights from new methodology'. Together they form a unique fingerprint.

Cite this