Yes, on the ex-div date the stock exchanges reduce share price by the EXACT amount of the dividend, resulting in an equal amount of capital loss.
A common misconception among new or unsophisticated investors is that a dividend is a profit. This is magnified by authors and web sites that promulgate the theory that Dividend Capture provides “free money”.
To add insult to injury, if in a non sheltered account, they are taxed as income and that has bled over into considering them income.
Benefits? Yes. If your dividend is reinvested, you get some more bang for the buck via compounding. If not reinvested, by receiving a portion of your own capital back, your dollars at risk is lowered.
Dividends do not produce Total Return. Only share price appreciation provides that so you should be agnostic about them. One should invest in financially healthy companies that are growing. If they pay a dividend, fine. If not, no big deal.
I note with humor that this answer received some down votes. My guess is that the four of you are among the many who do not understand the ex-dividend process. So let's try a real world example and see if minds can be enlightened. Dividends will not be reinvested because that requires multiple calculations.
If you bought AT&T on 6/23/2015, you paid $35.91
It closed on 10/26/18 at $29.09
You have a paper loss of $6.82 per share. You are down $682
Since 6/25/15 you have received $6.82 per share ($682). If this was done in a sheltered account, you have broken even. If not, you have paid taxes for the "privilege" of receiving some of your investment capital back. You lost money. To keep this example simple, let's ignore taxes.
Dividends received in 3.35 years? $682
Total return from 6/23/15 to 10/26/18? ZERO
If AT&T were to magically rise to $35.91 before the next dividend, you would be able to sell your shares and break even (ignoring commissions). Your $682 in dividends would then be true income, aka a profit.
Some updated numbers? AT&T closed yesterday at $29.91, down $6.00 from purchase price. You received $6.82 in dividends so you have a position gain of 82 cents. IOW, share price was reduced by $6.82 by the stock exchanges over the past 3.35 years because AT&T has recovered 82 cents of that amount. Only 82 cents of the $6.82 received is profit or if you wish, income.
Repeating what I wrote, dividends do not produce Total Return. Only share price appreciation provides that (82 cents in the updated numbers). Because of that, you should be agnostic about dividends. One should invest in financially healthy companies that are growing. If they pay a dividend, fine. If not, no big deal.