Sgwdjw; I finally did some basic spreadsheet analysis, and conclude the idea of selling your KMR dividends before you get them does not offer any advantage...or disadvantage. Whether selling your KMR dividends before the ex-div date or after you get them, you have essentially exactly the same amount of $$, except for market changes occurring between the ex-div date and the payment date that have nothing to do with dividend-related price drop.
Fact: KMR calculates the dividend (the # of shares div/shares owned...call this "div-per-share") using the closing prices of the 10 market days BEFORE the x-dividend date. Therefore, at 3:55pm of the day before x-dividend you have a DARN good estimate what the div-per-share will be; you know how may shares you will get if you simply ride it out.
Fact: if you calculate the number of shares you will be getting from the dividend, and sell them before the x-div date, you will get fewer share in dividend. Why? If you sell some on the day before the x-div day, you will own fewer shares on the date of record...and hence get fewer dividend shares. In my analysis I roughly correct for this by selling only 98% of the shares you calculate you will be getting if you don't sell...that pretty much keeps your amount of shares at the end of the day constant. A more precise % "hold back" would change this analysis only slightly. To calculate as precisely as you can, estimate the yield for the quarter (I am estimating 2%), and sell (1-quarterly yield%) and you will hold your # of shares very close to constant.
All my numerical example is for the case where you go into this owning 1000 shares of KMR.
Alternative 1: the "sell before the price drops" strategy. Just before the close of the day before x-div day, sell 98% of the shares you anticipate getting if you do NOT sell. Assume you sell at the closing price of the day before the x-div day. [a trivial point...I also assume you can sell any precise # of shares you want....such as the 21.70337 shares you would have sold on July 28. I know you can't sell fractional shares, but this keeps the math precise].
On the payment date you then get just about the right # of shares as a dividend as you sold, and you are back where you started with some $$ in your pocket.
Alternative 2: Wait until you receive your dividend shares, and sell them all at the closing price of the payment date.
So how do you do? In general, you end up the same amount of cash and same # of shares. Why? In the pre-sale strategy, you can only sell ~98% of your expected dividend shares in order to keep your # of shares constant in the long run. You get ~2% more for your shares than if you wait and sell the real dividend shares after you get them at the price then, but you are selling fewer shares. It is essentially a wash.
Historical data. Say you owned 100 shares, and did this for the most recent 6 dividends paid (the one to be paid on Aug 14, '09 can't be used yet...we don't have the closing price on the payment date).
If you follow the pre-sale strategy, after 6 cycles you would own 999.8775 shares (that 2% holdback isn't perfect), and would have $6,001.59 in your pocket. If you follow the wait-and-sell-when-you-get-them strategy, you would have exactly 1000 shares, and would have received $5,993.27 in cash.
Over 6 quarters, that is a 0.14% difference in the amount of cash you get by the pre-sale approach, and end up with 0.012% fewer shares.
The only reason it isn't exact is a) 2% is only an estimate, and b) market forces and day-to-day noise mean the price after the payment date not always be less than the pre x-div price by exactly the amount of the KMP dividend. The x-div date and the payment date are about 2 weeks apart, and stuff can happen in 2 weeks that move prices.