You do seem to have an idea how the div adjustments work. I have always been confused on that. Obviuosly, I see the downward pressure on a stock on Ex-div day (and a little before), but in order for the price to actally drop, people have to be willing to sell qt that lowered price. If there are market orders, I can see them filled at the lowered (prev. price - Div), assuming that there will be buyers at that price. Limit orders above that would not get filled. Assuming that people knew this, I would think that they would set a lmit in the middle, knowing the downward pressure, but still to get something better (than previous price - Div), at that level there is no point in getting the div (and it would generally be taxed). If more people used limit orders (on selling) then I don't think the drop would be as great. I just don't see how they can "Set" the price to be lower, or why they should. By the way I almost never use market orders anymore, unless I really want a stock.
I have thought that maybe selling half after the majority of the run up but before the drop would lock in 1/2 profits. Then on Ex div day, wait to see if the drop is more or less than the div. If more then buy the 1/2 back, if less then either just hold on or sell the rest. If you end up with extra $ then put it back into another Reit that has dropped more than the div. Just an idea I am playing with, cause I never know f it would be good to sell when the price is nice and high (and may drop more than the div). Just some ?'s and comments
The whole issue with CMO is really a very complicated one. You will find folks talking about relative merits of the capital gains treatment versus te dividend. Even more when you have some folks being subject to different tax treatment of each and the dividend being partial return of capital under most circumstances. That is really very specific to the individual and how much time and effort they are willing to put in. Personally I try to maximize my ROE (return on effort) and have decided that in my case there are other bigger fish to fry.
Good till canceled limit orders should have their price reduced by the divivdend amount on the ex div day. A gtc buy at 22 put in today (the close was 22.20) should not be triggered on the ex day because the stock opened at 20.55 (22.20-1.65) it should have been reduced to 20.35. If it is triggered, then the broker is not treating it correctly. I suspect some do not.
In fairness to the topic, I have seen CMO sail through the ex date with less than expected drop in the early trading. There is so much noise in the market though (especially these days), I don't regard it as anything that will make money with any certainty, but might be an interesting pasttime.