Japanese Stock Prices Research Articles

Are Japanese stock prices too high?

This paper studies the behavior of Japanese stock prices, especially that of the price earnings ratio (PER) and the price dividend ratio (PDR) in the 1980s. It finds that movements in fundamentals such as the interest rate and the growth rate together with the widespread practice of cross share holdings between corporations fail to explain the behavior of PER and PDR in the 1980s. The sharp increases in the Japanese PER and PDR in the 1980s are due to one of the following three causes: bubbles, declines in risk premium, and expectations of land price inflation. The paper argues that the latter two may have been important features of the Japanese economy in the 1980s.

Ex-day behavior of japanese stock prices: New insights from new methodology

We study the ex-dividend day behavior of Japanese stock prices on the ex-day in March, when most stocks simultaneously go ex-divided, for the period 1983–1987. We find a positive abnormal return for stocks that go ex-dividend. However, prices drop by nearly the full amount of the dividend. However, prices drop by nearly the full amount of the dividend once the common abnormal return is subtracted from individual returns. For the many ex-dividend day stocks that also go ex-rights on the same March ex-day, we find that the return is on average higher than that for stocks without rights issues.

Expectational data and Japanese stock prices

This paper examines the impact of a change in analysts' forecasts of earnings and sales per share on the subsequent price performance of a large sample of Japanese stocks. Changes in earnings and sales estimates affect price and the impact is incorporated slowly over time. This lag can be utilized to construct a portfolio of securities which while acting like an index fund earns an excess (extra) return.

Stock index futures arbitrage in the Japanese markets

This study examines the behavior of the prices of the first two futures contracts on Japanese stock price indices to be traded, the Nikkei Stock Average (NSA) contract on the Singapore International Monetary Exchange (SIMEX), and the Osaka Stock Futures 50 (OSF50) contract on the Osaka Securities Exchange (OSE). We find significant departures between the actual prices of the contracts and their ‘fair’ prices in the early months of trading from June 1987 to June 1988. The NSA contract was dominated by discounts of the actual prices in relation to the ‘fair’ price while the OSF50 contract was characterized by both premiums and discounts during this period. This suggests the viability of ‘cross-spreading’ strategies which were analyzed and found to be profitable during much of the period under study.