I know that the price of a stock on the ex dividend is supposed to drop by the amount of the dividend. What i don't understand fully is why it happens. I have seen many answers/articles/books etc that parrot multiple ideas that don't make sense with reality. For example many answers even on this site say that the price drops because cash is going out the company, therefore it is worth less, etc.
Many of these reasons don't make sense because the reality is that the price of a stock on ex-dividend DOES NOT drop by the dividend when it opens at 930AM EST. it drops by the dividend amount at open during the PRE-MARKET.
In other words, it is NOT people buying and selling the stock that makes it drop by the dividend amount. There seems to be something else that causes this change.
I have seen some articles that point to the fact that the stock exchanges themselves arbitrarily SET the price of a stock to be lower, but not many places talk about this more in detail.
It's not individuals buying and selling based on some perceived sense the company is worth less, because that would happen when the stock starts trading at normal times, since that is when you need to hold the stock to even get the dividend. if people really sell their shares on ex-dividend date before market opens, they won't get the dividend. So that doesn't make sense.
So what REALLY causes the price stock to drop? Is it the stock exchanges/market makers that set the price to start lower for the day to prevent people from making free money from the dividends? this question is specific to the US stock exchanges though i would be interested in knowing if this happens in others around the world as well