Dividend Capture Returns and Their Drivers: A Bayesian Analysis of Large-Cap Stocks Over 35 Years

Kaden Ma

Research

18 Pages

This paper examines the profitability of dividend capture from 1990–2025 using Bayesian linear regression, focusing more on retail investors. It finds that dividend capture has remained a viable strategy, with strong evidence for a positive average expected return for dividend capture strategies.

Key Takeaways

Profitable Strategy: Dividend capture in large-cap stocks has been consistently profitable over the past 35 years, with an average profit of 0.230% per dividend issuance from 1990 to 2025.
Returns Decayed: The average profit per dividend fell to just 0.114% from 2020–2025.
Potential: With an average of 241.5 unique dividend capture opportunities per year, this strategy retains strong profit potential.
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