Estimating Dividend Yield for an Equity Index

Summary

The question asks how to obtain the numerator in a market index dividend yield calculation, using Australian listed shares as its setting. The proposed formula divides the index’s indicated annual dividend rate by its current level. The response says to collect dividend yield data for the constituent companies when a suitable dataset is unavailable, then average those values to estimate the index yield.

This is a practical outline for assembling an estimate, rather than a fully specified index methodology. It does not explain whether constituents should be weighted by market capitalization, how to handle changing index membership, or whether the yield data are trailing or forward-looking. Those choices can materially affect the result, so the suggested average should be treated as a starting point and checked against the index provider’s definition. The reply also mentions a dividend scan as a way to begin gathering stock-level figures, without providing details or evidence about its coverage or accuracy.

Key ideas

• The stated index yield formula uses an indicated annual dividend rate divided by the current index level.
• When constituent yield data are unavailable, the response suggests researching the companies individually.
• The proposed calculation averages the constituent dividend yields.
• Weighting, yield definitions, data quality, and index membership are left unspecified.

Tags

# Calculating "Market Index Dividend Yield" of the ASX


# Calculating "Market Index Dividend Yield" of the ASX












In attempts to establish an investment portfolio with a long term horizon, the method of relative dividend yield has caught my attention.

I require the Market Index Dividend Yield to proceed. The formula in Spare and Tengler's "Relative Dividend Yield" is presented as

$$\mathrm{Market\ Index\ Dividend\ Yield}=\frac{\mathrm{Indicated\ Index\ Annual\ Dividend\ Rate}}{\mathrm{Current\ Index\ Value}}.$$

I am having trouble calculating the numerator of this formula.

Any help would be greatly appreciated, especially in context to the Australian Stock Exchange (ASX).

Thank you to all in advanced for you help.

Gustavo.

## Answer by chjortlund (score 2)

https://quant.stackexchange.com/a/15834

If you are not able to find a data set, containing the dividend yield information for all the companies listed in ASX20/50/100/200/300, the only way is for you to make it by researching the companies.

However I found this dividend yield scan to get you started.

Once you have the dividend yield rate for all the stocks in the given index, it is just a matter of taking the average of the list.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.