"Find out if your fund is declaring a dividend this month"

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oldzey
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"Find out if your fund is declaring a dividend this month"

Post by oldzey »

"The broker said the stock was 'poised to move.' Silly me, I thought he meant up." ― Randy Thurman
grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

Could some knowledgeable person explains the dates.

E.g. The page shows Declaration date: June 20, 2018 for some funds including Vanguard International High Dividend Yield Index Fund Share classes Investor, Admiral, ETF.

The Distributions page for ETF VYMI shows, for the last distribution,

Record date 3/27/2018
Ex-dividend date 3/26/2018
Payable 3/29/2018

What exactly are all those four dates?

On which date would you have to buy to get the dividend?
On which date would you have to sell to not get the dividend?
On which date does the price drop by the amount of the dividend?

Also, when will I know the exact amount of the dividend? Before or after the date I have to own it?
Longdog
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Re: "Find out if your fund is declaring a dividend this month"

Post by Longdog »

grayfox wrote: Wed Jun 06, 2018 6:45 pm Could some knowledgeable person explains the dates.

E.g. The page shows Declaration date: June 20, 2018 for some funds including Vanguard International High Dividend Yield Index Fund Share classes Investor, Admiral, ETF.

The Distributions page for ETF VYMI shows, for the last distribution,

Record date 3/27/2018
Ex-dividend date 3/26/2018
Payable 3/29/2018

What exactly are all those four dates?

On which date would you have to buy to get the dividend?
On which date would you have to sell to not get the dividend?
On which date does the price drop by the amount of the dividend?

Also, when will I know the exact amount of the dividend? Before or after the date I have to own it?
To get the dividend on an ETF you'd have to buy it the day prior to the ex-dividend date. If you do that, you will be the shareholder of record on the record date. To sell and not get the dividend, you have to sell on or before the day prior to the ex-dividend date. The new owner would instead get the dividend. If you sell on the ex-dividend date, you (the current owner) get the dividend but the purchaser does not. The price drops on the ex-dividend date.
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InvestorNewb
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Re: "Find out if your fund is declaring a dividend this month"

Post by InvestorNewb »

I don't see Vanguard's REIT fund on that page. Any ideas why this could be?
My Portfolio: VTI [US], VXUS [Int'l], VNQ [REIT], VCN [Canada] (largest to smallest)
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Re: "Find out if your fund is declaring a dividend this month"

Post by Expro »

It's there. June 14th.
livesoft
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

grayfox wrote: Wed Jun 06, 2018 6:45 pm Could some knowledgeable person explains the dates.

E.g. The page shows Declaration date: June 20, 2018 for some funds including Vanguard International High Dividend Yield Index Fund Share classes Investor, Admiral, ETF.

The Distributions page for ETF VYMI shows, for the last distribution,

Record date 3/27/2018
Ex-dividend date 3/26/2018
Payable 3/29/2018

What exactly are all those four dates?

So given those March dates ....
On which date would you have to buy to get the dividend? Any day before 3/26/2018 the ex-dividend date.
On which date would you have to sell to not get the dividend? Any day before 3/26/2018 the ex-dividend date.
On which date does the price drop by the amount of the dividend? 3/26/2018 the ex-dividend date.

Also, when will I know the exact amount of the dividend? Before or after the date I have to own it?
This is tricky because Vanguard does not update their web site in a timely fashion. I think the morning after the Declaration date is when the amount of the dividend will be on the web site, so is that date 06/21/2018? So you will know BEFORE you have to own it. This is NOT the case with a mutual fund though. Can you tell me why?
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Longdog
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Re: "Find out if your fund is declaring a dividend this month"

Post by Longdog »

livesoft wrote: Thu Jun 07, 2018 8:24 am
grayfox wrote: Wed Jun 06, 2018 6:45 pm Also, when will I know the exact amount of the dividend? Before or after the date I have to own it?
This is tricky because Vanguard does not update their web site in a timely fashion. I think the morning after the Declaration date is when the amount of the dividend will be on the web site, so is that date 06/21/2018? So you will know BEFORE you have to own it. This is NOT the case with a mutual fund though. Can you tell me why?
I'd imagine it is related to the fact that the settlement date of a mutual fund is the same as the purchase date. The settlement date of an ETF (or stock) is two days after the purchase date.
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

Thanks to all for the information.

I was hoping I could wait until the price drops by the amount of the dividend, then quickly buy it becoming the shareholder of record and get the dividend. I guess that's not possible.
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Re: "Find out if your fund is declaring a dividend this month"

Post by triceratop »

grayfox wrote: Thu Jun 07, 2018 10:20 am Thanks to all for the information.

I was hoping I could wait until the price drops by the amount of the dividend, then quickly buy it becoming the shareholder of record and get the dividend. I guess that's not possible.
Right it's not. The causation is precisely the opposite: the price drops because there is no longer an expectation of receiving that part of the cashflow of the fund.
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

grayfox wrote: Thu Jun 07, 2018 10:20 am Thanks to all for the information.

I was hoping I could wait until the price drops by the amount of the dividend, then quickly buy it becoming the shareholder of record and get the dividend. I guess that's not possible.
Let me translate: You were hoping for free money at the expense of someone else.

That would not only be unfair, but would lead to resentment.
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grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

Today is June 20th 11:30AM EDT. According to Find out if your fund is declaring a dividend this month, VYM and VYMI are declaring dividends today. I would have expected to see an announcement first thing in the morning with the dates and amount.

Not seeing anything. This page still shows the March 2018 dividend.

Now 7:30PM EDT. Markets have been closed for 3-1/2 hours. Still no announcement.

Now June 21st 1:13AM. Still no announcement.
Last edited by grayfox on Thu Jun 21, 2018 12:13 am, edited 1 time in total.
Bulgogi Head
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Re: "Find out if your fund is declaring a dividend this month"

Post by Bulgogi Head »

If the declaration date was today, June 20, and I sold some shares tomorrow 6/21 would I still get the dividend based on the original amount of shares?
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Re: "Find out if your fund is declaring a dividend this month"

Post by fujiters »

Bulgogi Head wrote: Wed Jun 20, 2018 10:44 pm If the declaration date was today, June 20, and I sold some shares tomorrow 6/21 would I still get the dividend based on the original amount of shares?
No. Only the Ex-dividend date counts. If you sell *before* that day, the new owner gets the dividend. It looks like most funds with yesterday's declaration date have Ex-dividend dates of 22 June, so if you sell on June 21 you don't get the dividend. If you sell on June 22, you would get the dividend.
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livesoft
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

Bulgogi Head wrote: Wed Jun 20, 2018 10:44 pm If the declaration date was today, June 20, and I sold some shares tomorrow 6/21 would I still get the dividend based on the original amount of shares?
It depends on what you sold. For a Vanguard mutual fund, it appears the Declaration Date is the same as the Record Date and you would get the dividend if you placed your sell order anytime after 4 pm on the Declaration Date.

For Vanguard ETFs, the situation is different. The Declaration Date is still June 20 and that just means that on June 21, Vanguard.com will have the ex-dividend date posted on the Distributions tab. The Ex-Dividend date shown is 6/22/2018 for VTI. So if you sell VTI any day before 6/22/2018, then you would get the dividend. If you sold VTI on 6/22 or later, then you would not get the VTI dividend.

This is just one reason why I don't like Vanguard. They use different terminology than others even if they think they do not. The Vanguard.com web site will not mention nor show the ex-dividend date for VTSAX and VTSMX, but does show it for VTI. Take a look yourself.
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Re: "Find out if your fund is declaring a dividend this month"

Post by goblue100 »

grayfox wrote: Wed Jun 20, 2018 10:32 am Today is June 20th 11:30AM EDT. According to Find out if your fund is declaring a dividend this month, VYM and VYMI are declaring dividends today. I would have expected to see an announcement first thing in the morning with the dates and amount.

Not seeing anything. This page still shows the March 2018 dividend.

Now 7:30PM EDT. Markets have been closed for 3-1/2 hours. Still no announcement.

Now June 21st 1:13AM. Still no announcement.
This page shows the YVM ex-dividend date is 6/22 payable 6/27.

https://personal.vanguard.com/us/funds/ ... true#tab=4
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grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

Checked it this morning just before open at 9:30Am EDT and the page showed the announcement posted.

International High Dividend Yield ETF
Quarterly Dividend
Most Recent: $0.94770
Record-Date: 6/25/2018
Ex-Dividend Date: 6/22/2018
Payable date: 6/27/2018
SEC yield: -

Today is June 21. If I understand correctly, if you sell VYMI by the end of the day, you WILL NOT get the $0.94770 dividend.
Or if you buy it by the end of the day, you WILL get the dividend.

I check the price on Vanguard.

OTC Last Trade 9:42 a.m. ET 06/21/2018
$63.10 -$0.3610 -0.57%

Bid-OTC $63.06
Ask-PSE $63.15
Open $63.23
Prev. close $63.46
Size 3 x 8
Volume 4,221
Day Range $63.10 - $63.23
42-week range $62.20 - $72.32
Last edited by grayfox on Thu Jun 21, 2018 8:57 am, edited 1 time in total.
grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

The mutual fund versions VIHIX (and VIHAX) work differently. There are different columns with different dates.

International High Dividend Yield Index Fund Investor Shares
Quarterly Dividend
Most Recent: $0.45830
Record-Date: 6/20/2018
Reinvest Date: 6/21/2018
Payable date: 6/22/2018
Reinvest price: -
Distribution yield: -
SEC yield: -


For the mutual fund, it's already too late. You had to act yesterday.
And you only know the amount $0.45830, AFTER it's a done deal.
livesoft
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

Vanguard could use a lesson from Blackrock. iShares / Blackrock has already published all the distribution dates for their ETFs for 2018:
https://www.ishares.com/us/literature/d ... e-2018.pdf

One doesn't have to make any guesses. Thank you iShares!
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Re: "Find out if your fund is declaring a dividend this month"

Post by Bulgogi Head »

Sorry for so many questions, but if the ex-dividend date is today 6/21, does that mean that the dividends get reinvested at today’s price?
livesoft
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

No, it does not mean that for ETFs, but does mean that for Vanguard mutual funds.

You can see this by clicking here -> https://investor.vanguard.com/mutual-fu ... ions/vtsax

Every Vanguard mutual fund has a similar "Distributions" web page. Note that the word "ex-dividend" does NOT appear on that page, but "Reinvest date" does appear.
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Re: "Find out if your fund is declaring a dividend this month"

Post by oldzey »

livesoft wrote: Thu Jun 21, 2018 2:40 pm No, it does not mean that for ETFs, but does mean that for Vanguard mutual funds.

You can see this by clicking here -> https://investor.vanguard.com/mutual-fu ... ions/vtsax

Every Vanguard mutual fund has a similar "Distributions" web page. Note that the word "ex-dividend" does NOT appear on that page, but "Reinvest date" does appear.
And once you've clicked, you have to click again on "Reinvest date" to get the explanation of "ex-dividend date" to appear:

Image
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livesoft
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

Once again, Vanguard.com presents a falsehood arising from its schizophrenic nature. The "Reinvest date" is NOT also known as the "ex-dividend date" to the rest of the world. In particular, this statement DOES NOT APPLY to Vanguard ETFs. For a Vanguard ETF, the ex-dividend date is DEFINITELY NOT the Reinvest date.

Click here for some more confusion: https://investor.vanguard.com/etf/profi ... utions/vti

Note to any Vanguard.com employee who reads this: PLEASE fix the web site to make things MUCH MORE CLEAR and ACCURATE in a TIMELY fashion. Thanks!
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grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

I agree that Vanguard makes it sound complicated than it is. The main thing to know is that ETFs and mutual funds are treated differently.

They also seem to play it close to their vest with the details. Maybe they are trying to keep people from front-running or rear ending their mutual funds, or whatever it is that the big players do.

Anyway I checked today's (21/VI) closing price of ETF VYMI. It dropped a 59 cents today from yesterday's close.

OTC Last Trade 3:59 p.m. ET 06/21/2018
$62.87 -$0.5900 -0.93%

Bid-OTC 0.00
Ask-PSE $66.23
Open $63.23
Prev. close $63.46
Size 0 x 3
Volume 139,893
Day Range $62.81 - $63.25


:idea: This is a chance to see if the theory that the price drops by the amount of the dividend holds in practice. VYMI will go ex-dividend tomorrow by $0.94770, so the theory says that the opening price on 22/VI should be 62.87 - 0.94770 = $61.9223, right?

Also, I happen to have a GTC limit order to sell at $65.90. I will see if they adjust my limit order down to $64.9523.
grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

June 22, 2018 9:21AM

OTC Last Trade 4:00 p.m. ET 06/21/2018
$61.92 -$0.00 -0.00%

Bid-OTC 48.48
Ask-PSE $63.05
Open $0.00
Prev. close $61.92
Size 1 x 1
Volume 0
Day Range -


Before the open, Vanguard shows the last trade and Prev. close adjusted down by the dividend at the price of 61.92.
This would indicate that $0.94770 was removed from the fund before the market opens.

Vanguard has not adjusted my GTC limit order which still shows 65.90
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Re: "Find out if your fund is declaring a dividend this month"

Post by 3funder »

The morning after the declaration date is when you can buy without "buying the dividend" (this is the date the NAV would drop due to the distribution).
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grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

June 22, 2018

9:28:00AM
$61.92
Bid-PSE $61.53
Ask-PSE $63.04
Prev. close $61.92

9:29:00AM
$61.92
Bid-PSE $62.57
Ask-PSE $62.96
Prev. close $61.92

9:29:55AM
$61.92
Bid-PSE $62.65
Ask-PSE $62.94
Prev. close $61.92

9:30:15 AM
62.76 $0.8377 1.35%
Bid-NAS $62.75
Ask-OTC $62.82
Open $62.76
Prev. close $61.92

9:32:00 AM
62.82 $0.8977 1.45%
Bid-NAS $62.75
Ask-OTC $62.82
Open $62.76
Prev. close $61.92
grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

grayfox wrote: Fri Jun 22, 2018 8:33 am June 22, 2018

9:28:00AM
$61.92
Bid-PSE $61.53
Ask-PSE $63.04
Prev. close $61.92

9:29:00AM
$61.92
Bid-PSE $62.57
Ask-PSE $62.96
Prev. close $61.92

9:29:55AM
$61.92
Bid-PSE $62.65
Ask-PSE $62.94
Prev. close $61.92

9:30:15 AM
62.76 $0.8377 1.35%
Bid-NAS $62.75
Ask-OTC $62.82
Open $62.76
Prev. close $61.92

9:32:00 AM
62.82 $0.8977 1.45%
Bid-NAS $62.75
Ask-OTC $62.82
Open $62.76
Prev. close $61.92
Trying to make sense of this.

Before the open, Vanguard adjusted the Last Trade and Previous Close down by the amount of the dividend 0.94770 to 61.92
So far so good.

Hours before open, the Bids and Ask are 0.00 - 63.05. Basically no bid, and Ask is well above yesterday's unadjusted close.
About 10 minutes before open, the Bids and Asks have a very wide spread. 48.48 - 63.05
Two minutes before open, spread narrows to 61.53 - 63.04
One minutes before open, spread narrows to 62.57 - 62.96
Five seconds before open, spread narrows to 62.65 - 62.94
There was an opening trade at 62.76
15 seconds after open, spread is 62.75 - 62.82. The last trade was at 62.82
Two minutes after open, spread is 62.75 - 62.82

:arrow: Although the previous close was adjusted down by the amount of the dividend, the opening price was determined by the Bidders and Askers converging on a price, which turned out to be $62.82, not $61.92. This is 0.838 higher than the adjusted last trade.
In other words, the opening price was down only $0.11 from yesterday's unadjusted close, rather than the theoretical $0.94770
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

I will formalize this experiment.

Hypothesis: On ex-dividend date, the stock price will fall by the amount of the dividend and have an opening price equal to the previous closing price minus the dividend.

By empirical observation, Hypothesis REJECTED. :!:
livesoft
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

^And there is lots of historical data to reject the hypothesis as well.
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Re: "Find out if your fund is declaring a dividend this month"

Post by triceratop »

I mean, sure, fine, but why does that hypothesis make sense to surmise? We don't have continuously-open financial markets for continuous price discovery of non-dividend-related events, which is what you're really observing, no? Other things are happening in the financial and non-financial world, so prices adjust.
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Re: "Find out if your fund is declaring a dividend this month"

Post by JustinR »

Edit never mind
Last edited by JustinR on Fri Jun 22, 2018 1:28 pm, edited 1 time in total.
livesoft
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

I think you may be confusing what "ex-dividend" means, so maybe you could point us to the funds that have this mysterious Saturday feature please. Then we could help explain perhaps.
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Re: "Find out if your fund is declaring a dividend this month"

Post by JustinR »

livesoft wrote: Fri Jun 22, 2018 1:18 pm I think you may be confusing what "ex-dividend" means, so maybe you could point us to the funds that have this mysterious Saturday feature please. Then we could help explain perhaps.
Weird, I was mistaken. The date is the 21st and not 23rd like I had written down. I could have sworn it said 23rd before. Never mind thanks.
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

triceratop wrote: Fri Jun 22, 2018 11:31 am I mean, sure, fine, but why does that hypothesis make sense to surmise? We don't have continuously-open financial markets for continuous price discovery of non-dividend-related events, which is what you're really observing, no? Other things are happening in the financial and non-financial world, so prices adjust.
Google "stock price drops by amount of dividend"

There are about 22 million results, if you click on one you will read things like:

"The stock always drops by the amount of the dividend on the ex date."

"On the ex-dividend date, the share price drops by the amount of dividend to be paid.... Consider a stock with a share price of $50 the day before going ex-dividend with a $1 dividend to be paid. On the ex-dividend date, the share price will open at $49. "

"Stock market specialists will mark down the price of a stock on its ex-dividend date by the amount of the dividend. For example, if a stock trades at $50 per share and pays out a $0.25 quarterly dividend, the stock will be marked down to open at $49.75 per share."

This is repeated as gospel truth on millions upon millions of web pages and in investing forums. But it does not actually happen.
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

grayfox wrote: Fri Jun 22, 2018 2:43 pmThis is repeated as gospel truth on millions upon millions of web pages and in investing forums. But it does not actually happen.
I guess it would be more proper to say the stock price drops before the market open and before the first trade of the day by the amount of the dividend. Any price changes after that are from market action. :twisted:

But no worries, Vanguard says they post things on their web site on date D, but they don't really post until date D+1 unless the market is closed on date D+1. In that case, they post on the next day that the market is open.
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Re: "Find out if your fund is declaring a dividend this month"

Post by triceratop »

grayfox wrote: Fri Jun 22, 2018 2:43 pm
triceratop wrote: Fri Jun 22, 2018 11:31 am I mean, sure, fine, but why does that hypothesis make sense to surmise? We don't have continuously-open financial markets for continuous price discovery of non-dividend-related events, which is what you're really observing, no? Other things are happening in the financial and non-financial world, so prices adjust.
Google "stock price drops by amount of dividend"

There are about 22 million results, if you click on one you will read things like:

"The stock always drops by the amount of the dividend on the ex date."

"On the ex-dividend date, the share price drops by the amount of dividend to be paid.... Consider a stock with a share price of $50 the day before going ex-dividend with a $1 dividend to be paid. On the ex-dividend date, the share price will open at $49. "

"Stock market specialists will mark down the price of a stock on its ex-dividend date by the amount of the dividend. For example, if a stock trades at $50 per share and pays out a $0.25 quarterly dividend, the stock will be marked down to open at $49.75 per share."

This is repeated as gospel truth on millions upon millions of web pages and in investing forums. But it does not actually happen.
“The temperature goes up in the summer”

“But not if Mt. Vesuvius blows its top, then the global temperature actually decreased”

Well sure, but it is still hotter in the post-Vesuvius summer than it would otherwise be — post-Vesuvius summer must surely be warmer than post-Vesuvius winter (disclaimer: I do not know what season Vesuvius erupted in and I do not care to find out :P )The original statement is still correct. You just can’t see the effect easily in a small sample size because there are bigger effects dominating.

Same with dividends.

I don’t think google search results prove much of anything.

The real way to prove this is by subtracting our the contribution to the fund price return due to the index return and see how the adjusted fund price changes.
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grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

livesoft wrote: Fri Jun 22, 2018 2:57 pm
grayfox wrote: Fri Jun 22, 2018 2:43 pmThis is repeated as gospel truth on millions upon millions of web pages and in investing forums. But it does not actually happen.
I guess it would be more proper to say the stock price drops before the market open and before the first trade of the day by the amount of the dividend. Any price changes after that are from market action. :twisted:
As far as I can tell, what actually happens is that sometime between the close of of the previous day at 4PM and the open on the ex-dividend date at 9:30AM, the reported Previous closing price is adjusted down by the amount of the dividend. That's it.

I don't know exactly when it happens, at the stroke of midnight or 6AM, but it was showing by 9:15AM ET when I checked.

After that, trading proceeds just like any other day. People looking to buy or sell shares go to the market. Those looking to sell decide what price to ask. Those looking to buy decide what price to bid. They can place their BIDs and ASKs before the market opens. They can see what other people are bidding and asking. Nobody wants to buy higher than necessary, or sell lower than necessary. They can adjust their own BID or ASK based on what other people are bidding are asking. There will be some spread between lowest ASK and highest BID.

The market opens. Someone lowers their ASKing price. Someone raises their Bid Price. They meet in the middle and the first trade is recorded. That is the opening price. It is at whatever price they agree to. The previous close, adjusted for dividends or not, is irrelevant.
livesoft
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Re: "Find out if your fund is declaring a dividend this month"

Post by livesoft »

grayfox wrote: Fri Jun 22, 2018 4:11 pmThe market opens. Someone lowers their ASKing price. Someone raises their Bid Price. They meet in the middle and the first trade is recorded. That is the opening price. It is at whatever price they agree to. The previous close, adjusted for dividends or not, is irrelevant.
I think you would enjoy learning about something called "The Opening Cross" which is how the opening price is determined. It is not quite as you described.
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triceratop
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Re: "Find out if your fund is declaring a dividend this month"

Post by triceratop »

Maybe investors traders do not rationally approach this problem? See this academic paper: Reconsidering Returns (apologies if this seems like something I've posted before -- there have been a number of fund/etf dividend price adjustment threads in the past few days)

A notable finding is that funds investing in price indices behave differently around ex days than do funds investing in total return indices. This is, ahem, irrational.
"To play the stock market is to play musical chairs under the chord progression of a bid-ask spread."
grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

livesoft wrote: Fri Jun 22, 2018 4:34 pm
grayfox wrote: Fri Jun 22, 2018 4:11 pmThe market opens. Someone lowers their ASKing price. Someone raises their Bid Price. They meet in the middle and the first trade is recorded. That is the opening price. It is at whatever price they agree to. The previous close, adjusted for dividends or not, is irrelevant.
I think you would enjoy learning about something called "The Opening Cross" which is how the opening price is determined. It is not quite as you described.
Opening Cross
The Opening Cross sets the Nasdaq Official Opening Price (NOOP). If an issue does not have an Opening Cross, the Nasdaq Official Opening Price is determined by the first last-sale eligible trade reported at or after 9:30 a.m., when regular trading hours begin.
So there are special rules and procedures for determines the opening and closing prices.

I did not know that. Thanks for mentioning. Very interesting.

Anther document: NASDAQ Last Sale (NLS)
To obtain the Adjusted Previous Close, firms will need to apply dividends to the previous day’s closing price value.
Dividend adjustments are typically applied to the closing price on the day prior to ex- date and reflected on the ex-date, the next business day. Cash dividends of $0.01 or greater should be subtracted from the closing price. For stock dividends, the closing price should be divided by the dividend amount.
grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

triceratop wrote: Fri Jun 22, 2018 3:02 pm
“The temperature goes up in the summer”

“But not if Mt. Vesuvius blows its top, then the global temperature actually decreased”

Well sure, but it is still hotter in the post-Vesuvius summer than it would otherwise be — post-Vesuvius summer must surely be warmer than post-Vesuvius winter (disclaimer: I do not know what season Vesuvius erupted in and I do not care to find out :P )The original statement is still correct. You just can’t see the effect easily in a small sample size because there are bigger effects dominating.

Same with dividends.

I don’t think google search results prove much of anything.

The real way to prove this is by subtracting our the contribution to the fund price return due to the index return and see how the adjusted fund price changes.
If one were to look at 10,000 ex-dividend events, maybe, on average, the opening price would be the adjusted previous close. That would make sense in a rational world. Then you could consider the opening price as a random variable. Sometimes higher than expected, sometimes lower.

Maybe there has been some research into that.

Or maybe so many investors have read "Don't buy the dividend" so they all wait until the next day to place their buy order, driving up the price on the ex-dividend date. Who knows? :D
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Re: "Find out if your fund is declaring a dividend this month"

Post by drk »

livesoft wrote: Thu Jun 21, 2018 11:35 am Vanguard could use a lesson from Blackrock. iShares / Blackrock has already published all the distribution dates for their ETFs for 2018:
https://www.ishares.com/us/literature/d ... e-2018.pdf

One doesn't have to make any guesses. Thank you iShares!
Similarly for Schwab (PDF).
A useful razor: anyone asking about speculative strategies on Bogleheads.org has no business using them.
grayfox
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Re: "Find out if your fund is declaring a dividend this month"

Post by grayfox »

VYMI Dividend Declaration Date 9/24/2018.

On 9/25/2018 Vanguard showed VYMI Distributions
Per share distribution 0.57770
Record date 09/27
Ex-dividend date 09/26
Payable date 10/01

VYMI went ex-dividend today, 9/26/2018.

Code: Select all

Date     Time    Bid   Ask   Open PrevClose
20180926 9:27:00 62.00 63.69  0.00 63.22
20180926 9:28:00 62.00 65.00  0.00 63.22
20180926 9:29:00 62.00 65.00  0.00 63.22
20180926 9:29:30 62.00 64.59  0.00 63.22
20180926 9:29:45 62.00 64.59  0.00 63.22
20180926 9:30:00 63.05 63.24 63.24 63.22
20180926 9:30:45 63.06 63.24 63.24 63.22
20180926 9:31:00 63.07 63.25 63.24 63.22
20180926 9:32:45 63.12 63.25 63.24 63.22
20180926 9:33:00 63.12 63.25 63.24 63.22
20180926 9:36:30 63.12 63.25 63.24 63.22
20180926 9:51:00 63.19 63.25 63.24 63.22
The Actual Close yesterday was 63.80. Sometime before the open at 9:30AM EDT this morning, the Previous Close price was adjusted down by -0.57770, the amount of the distribution, to 63.22. The Actual Open was 63.24, only 2 cents higher than the previous close. Bid/Ask was 63.05/63.24.

Also, if I go to Yahoo finance it incorrectly shows 63.80.

Code: Select all

Date             Open        High        Low         Close*   Adj Close**    Volume
Sep 26, 2018     63.240      63.259      63.120      63.245      63.245       6,465
Sep 25, 2018     64.0100     64.0100     63.7700     63.8000     63.8000     44,600
Sep 24, 2018     63.9700     63.9700     63.5300     63.5300     63.5300     40,500
Sep 21, 2018     63.7800     64.0000     63.7400     63.8800     63.8800     81,600

*Close price adjusted for splits.**Adjusted close price adjusted for both dividends and splits.

The Next Day: Yahoo changed their values for Sep 25 Adj Close to 63.22, which is the correct value. Tricky.

Code: Select all

Date             Open      High      Low       Close*     Adj Close**     Volume
Sep 26, 2018     63.24     63.73     63.12     63.29     63.29     150,900
Sep 26, 2018     0.578 Dividend
Sep 25, 2018     64.01     64.01     63.77     63.80     63.22     44,600
:arrow: Once again, the only thing that is done is that, sometime after the market closes on the day before Ex-Div date and before the market opens on the Ex-Div date, the Previous Closing Price is adjusted down by the amount of the dividend. Nothing more. Everything else is business as usual.

Another thing: They did not change my limit order. I've heard people claim that they adjust the limit orders down also, but mine were unchanged.
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