Sometimes they don't. Sometimes they go up. Lots of people think they're priced in, and the point at which they go ex-dividend is a convenient point to decide that it's now worth a bit less. Was it "priced in" before? No idea. Going ex-dividend is a single, identifiable point at which people can say it surely must be worth less now.

I personally value dividend paying stocks more highly than non-dividend paying stocks. A history of dividends makes the stock appear more valuable to me (given that the majority of companies are rubbish at investing in themselves, giving me the money and letting me reinvest it myself is preferable). If they just went ex-dividend, that's a excellent very fresh data point that makes the stock look more valuable to me.