Kato, Kiyoshi; Loewenstein, Uri - In: Review of Financial Studies 8 (1995) 3, pp. 817-47
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...