English, Article, Journal or magazine article edition: Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology Fumio Hayashi; Ravi Jagannathan

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Bookmark: http://trove.nla.gov.au/version/141462
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
Author
  • Fumio Hayashi
  • Ravi Jagannathan
Physical Description
  • preprint
Notes
  • 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.
  • Stock - Prices - Japan ; Japan
  • RePEc:fip:fedmem:30
  • RePEc:nbr:nberwo:3421
Language
  • English
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