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

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 exday 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.