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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...
Persistent link: https://www.econbiz.de/10005712945
We develop a Q model of investment with multiple capital goods that delivers a one-to-one relation between the growth rate of the capital aggregate and the stock market-based Q. We estimate the growth-Q relation using a panel of over six hundred Japanese manufacturing firms taking into account...
Persistent link: https://www.econbiz.de/10005498962
In Japan, as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income … rates as well as asset returns. In Japan, the book-to-market-price characteristic can be adequately captured by a particular …
Persistent link: https://www.econbiz.de/10005498976
Persistent link: https://www.econbiz.de/10005726721