I hesitate to brag about this too hard, because if too many of us try it at some point it will stop working. But. . .
Actually I do what you are asking about time after time, meaning almost every quarter. I have been poo-pooed on here. People say it doesn't make sense, maybe it will work one time but that is the exception, that the share price follows the ex-div and goes down, and basically that real investors should be in it for the long haul. Yada yada yada. But darn it, it has worked for me. Over and over again. Last quarter I bought it in the mid-17s, waited until I got the dividend, then waited til I could sell it for 18.10. Now it's in the 17's again and I am thinking about buying it before ex-date and selling it after, hanging on long enough just to avoid a capital loss. To answer your specific question, the only restriction I can think of is if you DO sell it for a capital loss (which I don't). In that case you'd have to be rid of it for a month, before buying it back, otherwise you would run afoul of the 30-day "wash sale rule" and not be able to take the tax loss.
That's really interesting, in my example then one would net about 3K on dividends and about 3K in PPS for a gross of 6K...not bad for maybe 4-6 weeks of having ones money tied up and if the transaction is in a IRA you don't have to sweat the taxes.....
Dundee: and for those of us who don't have it in an IRA, realistically many of us don't have to worry about taxes on the capital gains part either -- since we have enough carry over capital losses from 2008 on other holdings (limited to $3,000 per year, carried forward) to last us til age 100 :(
And for taxes on the dividends part, since this is not in an IRA: yes, I am aware of all the political debates, but for me I just treat that as income that I live off of, so I pay the tax man, figuring it in to my quarterly 1040-ES. Somebody's got to!
The ex dividend price will typically reflect the amount of the dividend.
Let's say NLY is $17.60 one day prior to ex dividend date. Also let's assume the dividend is $.60. Everything else being equal, the ex dividend opening price would be $17.00.
Needless to say many other things influence the price. Last quarter the NAV price did not decline as much as the dividend payed out. This is somewhat unusual. You can look back at the price history to confirm all this.