Skip to content
All library documents

Estimating S&P 500 Dividend Growth from Total and Capital Gains Returns

Article Quant Q&A · Author: Azimut
Read the original

Summary

The document explains how to estimate S&P 500 dividend growth using value-weighted return series that include dividends and capital gains returns that exclude them. Their difference gives the dividend yield contribution over a period. Comparing that quantity with its lagged value and adjusting for capital gains produces an estimate of dividend growth, which can be used to construct a dividend series.

It points to CRSP as a source of total and ex-dividend return data, and describes a freely available alternative dataset associated with a published asset-pricing study. The method is an indirect reconstruction rather than a direct download of index dividend amounts. Its usefulness depends on having appropriately matched return series and understanding their frequency and coverage; those implementation details and any validation results are not discussed.

Key ideas

  • Subtracting capital gains returns from total returns isolates the dividend yield contribution for the period.
  • The change in dividend yield, adjusted by capital gains, can be used to infer dividend growth.
  • CRSP return series are identified as one data source, with a research dataset offered as an alternative.
  • The method estimates dividends indirectly and depends on consistent return data.

Tags

EquitiesStatisticsUS markets
Full text
# S&P 500 dividend data


# S&P 500 dividend data












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

## Answer by phdstudent (score 2)

https://quant.stackexchange.com/a/48644

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.

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.