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Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology / Fumio Hayashi, Ravi Jagannathan.
- Format:
- Book
- Author/Creator:
- Hayashi, Fumio.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w3421.
- NBER working paper series no. w3421
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Ex-Day Behavior of Japanese Stock Prices
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1990.
- Summary:
- 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.
- Notes:
- Print version record
- August 1990.
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