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

Hayashi, Fumio; Jagannathan, Ravi

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

NBER Working Paper No. w3421

37 Pages Posted: 8 Nov 2011 Last revised: 7 Nov 2022

See all articles by Fumio Hayashi

Fumio Hayashi

National Graduate Institute for Policy Studies; GRIPS

Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER); Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF); Indian School of Business (ISB), Hyderabad

Date Written: August 1990

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.

Suggested Citation: Suggested Citation

Hayashi, Fumio and Jagannathan, Ravi, Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology (August 1990). NBER Working Paper No. w3421, Available at SSRN: https://ssrn.com/abstract=1956406