Japanese stock price reactions to stock dividend distributions

Manjeet Dhatt, Yong H. Kim, Sandip Mukherji

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)43-59
Number of pages17
JournalPacific-Basin Finance Journal
Issue number1
StatePublished - Mar 1994


  • Buying pressure
  • Ex-day effect
  • Japanese stock prices
  • Market imperfections
  • Stock dividends


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