Japanese stock price reactions to stock dividend distributions

There is evidence of excess returns around stock dividend ex-days in the U.S. Since the ex-date is known in advance, excess returns around this day imply a pricing anomaly. Some researchers have attempted to explain the ex-day effect in terms of trading regulations and features of the U.S. market. This paper shows that stock dividends in Japan also result in significant excess returns around the ex-day which are very similar to those in the U.S. Our findings indicate that the ex-day effect is related to stock dividends per se and cannot be fully explained by characteristics of a particular market.