Investment thesis
There exists a price anomaly where the stock price would recover after the drop on the ex-dividend date. This recovery effect varies by holding period, and holding the stock longer (from 1 week to 4 weeks) produced a larger return with the same dispersion of returns. This anomaly is also exists after hedging with the SPY, showing the same pattern of increased returns for a longer holding period, with the same dispersion of returns.
Hedged returns can be considered as the stock outperforming the overall market, but there is no relationship between the