S&P 500 dividend data

Question

I could not find S&P 500 dividend data on S&P 500 official site. Does anybody know where to find it?

Answer 1

CRSP will give you returns with dividends and without dividends from SPX which allow you to compute those. If you do not have access you can use the data from this paper: "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," Boudoukh, Michaely, Richardson, Journal of Finance, 2007.

The data is freely available here: http://finance.wharton.upenn.edu/~mrrobert/styled-9/styled-13/index.html

From that dataset take the value weighted returns including dividends (VWRETD) and the capital gains (VWRETX) where:

\begin{equation} VWRETD = \frac{P_{t+1}+D_{t+1}}{P_{t}}-1 \end{equation} \begin{equation} VWRETX = \frac{P_{t+1}}{P_{t}}-1 \end{equation}

Use the VWRETD and VWRETX series to get a series of annual dividend growth rates. Just subtract those series to get: \begin{equation} \frac{D_{t+1}}{P_{t}} \end{equation}

Then compute the ratio between the last equation and its lagged value, and multiply it by the lagged capital gain to get:

\begin{equation} \frac{D_{t+1}}{P_{t}} \Big/ \frac{D_{t}}{P_{t-1}} \times \frac{P_{t}}{P_{t-1}}=\frac{D_{t+1}}{D_{t}} \end{equation}

Which tells you the dividend growth rate. Which is all you need to compute S&P500 dividends.