I sold part of my position in American Capital Agency Corp. (AGNC). I bought shares of this REIT to enjoy a huge, almost 20%, yield. Why did I sell it then?
Simple. In the last 5 quarters, price of the stock fell after ex dividend day more than the dividend itself. Quite unusual, and quite inviting pattern. I think I can make more money buying it after ex dividend date around $27 and selling in the range $29.50-$30 right before next ex dividend date.
Why is it happening? Don't know and don't care. As long as this arbitrage is working, I'm running it.
Full disclosure: at the time of publication author had a long position in AGNC.