Cointegrated Pair with Ex-Dividend Timing?
Buying KO on PEP Ex-Dividend...
I recently did a casual survey of Coke and Pepsi historical data. I have a hypothesis that is a twist on cointegrated pairs. The hypothesis asserts:
Coke and Pepsi have movement around dividend time
Maybe, a lot of institutional and retail money moves from KO to PEP and back around the dividend cycle
The magnitude of movement might be greater than the dividend as a percent of share price
Buy PEP on KO ex-Dividend day, and vice versa
PEP superimposed roughly over KO time series.
I suppose that is more of a calendar feed and scheduling job than a technical cointegration strategy. I do want to emphasize *casual* survey. I compared decades of KO and PEP on a Yahoo Interactive chart, with Dividend events turned on. The hypothesis appeared truthy, but was not measured and tested. Can anyone recommend a technology for that sort of testing?
