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3

You get nothing, by this logic you could accumulate risk-free money all day by buying/selling on the ex-date as long as the dividend is larger than the spread.


3

You could compute index dividend yield from ATM options using linearized put-call parity (assuming index options are European.) The present value of the dividend payment is: $PV(div) = P - C + (S - K) + K(e^{rT} - 1)$ where $r$ is interest rate to the option expiration and $T$ is time to maturity in years. Then the implied dividend is: $d = ...


2

In real life, you imply the unknown dividend yields from the forwards and the discount curve.


1

I am assuming that you are interested in how the returns behave around dividend payment dates, since the adjustment process for Yahoo is covered in their help section. The drop has been found to be aprox. the amount of the dividend yield. More recently it appears, that in the run-up to the dividend date some premium may be earned.


1

The line of thinking is theoretically correct and it is right if you assume that: no other event happened during the trading day or in recent periods (if, for instance, one has a stock split recently, you will take into account also that and so on for all corporate events); The dividend is a cash-dividend (in the case you will have a stock-dividend things ...


1

Have you read Options, Futures and Other Derivatives by John Hull? I have the (ancient) 3rd edition and dividends are covered in section 11.12. (The latest edition is viciously expensive, but getting a used copy of one version back can halve the price.)



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