To explain the ex-day stock price behaviour, previous research has mostly focused on\r\ndividend yield and expected return. Most of these studies concentrated on the US markets and\r\nwere conducted in a stable economic condition. This paper examines the most liquid common\r\nstock (blue-chip) prices behaviour on the ex-day in a period of financial crisis and covers four\r\nmajor capital markets from different geographic locations (the US, the UK, Japan, and China).\r\nOn the New York and Shanghai Stock Exchanges, we observe that the stock prices drop does\r\nnot differ from the dividend amount on the ex-dividend day and there is no evidence of\r\nabnormal return and short-term trading. On the Tokyo Stock Exchange, the stock prices fall\r\nless than the dividend amount, which is in contrast to the London Stock Exchange, where the\r\nstock prices fall more than the dividend amount. On the Tokyo and London Stock Exchanges,\r\nwe observe abnormal return and short-term trading around the ex-day. Possible explanations\r\nfor these differences can be financial crisis (in the UK) and short-term trading (in the Japan).
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