We study the pricing effects of dividend and earnings announcements by taking advantage of the unique setting in Japan where managers simultaneously announce the current year's dividends and earnings as well as forecasts of next year's dividends and earnings. Defining surprises as deviations from analysts' forecasts, we find that share price reactions are significantly affected by earnings surprises, especially management forecasts of next year's earnings. The information content of dividends is marginal and is restricted to announcements of next year's dividends. Consistent with Modigliani and Miller's dividend irrelevance proposition, current dividend surprises have no material impact on stock prices in Japan.

Ex‐dividend day returns vary over time. The ex‐day returns of high‐yield stocks are persistently positive for some time periods and negative for others; in contrast, ex‐day returns of low‐yield stocks are always positive and less variable. We are unable to explain the variation with changes in the tax code, but we do find a strong effect for the introduction of negotiated commissions. We find evidence that corporate dividend capturing is affecting ex‐day returns and confirm the findings of Gordon and Bradford (1980) that the price of dividends is countercyclical.

Ex-dividend day returns vary over time. The ex-day returns of high-yield stocks are persistently positive for some time periods and negative for others; in contrast, ex-day returns of low-yield stocks are always positive and less variable. The authors are unable to explain the variation with changes in the tax code but they do find a strong effect for the introduction of negotiated commissions. The authors find evidence that corporate dividend capturing is affecting ex-day returns and confirm the findings of R. H. Gordon and D. F. Bradford (1980) that the price of dividends is countercyclical.

Ex-dividend day returns vary over time. The ex-day returns of high-yield stocks are persistently positive for some time periods and negative for others; in contrast, ex-day returns of low-yield stocks are always positive and less variable. We are unable to explain the variation with changes in the tax code, but we do find a strong effect for the introduction of negotiated commissions. We find evidence that corporate dividend capturing is affecting ex-day returns and confirm the findings of Gordon and Bradford (1980) that the price of dividends is countercyclical.