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Dividend arbitrage
Hi, I have a stupid strategy not sure if can work in real world:Long equity stock right before ex-date. (with high dividend yield)Short corresponding equity future right before ex-date (the nearest expiry)The purpose is to gain risk free return on dividend. Any one have idea on whether its possible to execute this? or if its too expensive to execute due to fees in markets?
Dividend arbitrage
The strategy should let you capture the dividend with minimal exposure to the stock price, but (at least in theory) lock in a short term capital loss of the same size. Unless I am missing a tax angle, I don't really see how this would make money. Of course, if you can spot mis-priced futures contracts you should go ahead and try to arb them.