Theoretically it would make no difference - the price on the ex-dividend date would fall by exactly the amount of the dividend. But I have studied the price movement of NLY for the past dozen or so quarters to see if people were buying just before the ex date and selling just after to collect the dividend, or if people were selling just before the ex date and buying back just after - to, in effect, capture the dividend right away instead of waiting a whole month to get paid.
My conclusion: I could find no dependable pattern! In any given quarter one or the other of the patterns would prevail, but on the average NLY behaves just like the theory.
just for your info, this may help:
last year Announce dates: 3/20, 6/19, 9/19, 12/18/2012
ex div dates: 3/28, 6/27, 9/27, 12/20
(all from NLY website)
at this point, it's impossible to know whether NLY pps will rise 45 more cents (thus making it worth buying right now) but December 31 would have been the best (lowest) in this dividend cycle.....
(better to buy "low" than high, no?)