The ex-dividend-day behavior of stock prices: the case of Japan

Publisher Website
Google Scholar
Abstract
We provide a comprehensive empirical analysis of stock price behavior around the ex-dividend day in Japan. We find that prices rise on the ex-day and that dividend-related tax effects appear to be secondary. Returns around ex-dividend days are dominated by the proximity of many ex-days to the fiscal year end. Excess returns of 1 percent, which are independent of any dividend-related considerations, are higher than round-trip transaction costs on medium-sized transactions. Prices seem to imply selling pressure before and buying pressure at the start of the new fiscal year. These trading patterns appear to be motivated by intercorporate manipulative trading around the end of the firms’ fiscal year, which are unrelated to dividends.

This publication has 18 references indexed in Scilit: