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Thanks for reading,

I am trying to calculate the market dividend yield for this set of data.

The authors define it as 'The market dividend yield (MDY) is the one-year dividend from the CRSP value-weighted market portfolio divided by the current price'.

I haven't got a clue, I was wondering if someone could help.

The paper is Hong, H., Torous, W., and Valkanov, R., Do Industries Lead Stock Markets? Journal of Financial Economics, 83(2) 367-396, 2007.

And the data can be download from the link: http://rady.ucsd.edu/faculty/directory/valkanov/.

Thanks.

Sam

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The dividend yield can be computed from the forward prices. However, in practice (e.g., in Bloomberg), the realized dividend yield is computed as the sum of the dividend payments from the whole past year divided by the current equity (stock or index) price, while the implied dividend yield is computed as the sum of the forecast dividend payments, over the whole year forward from the current time, divided by the current equity price.

Note that, the implied dividend yield computed as above is not the same as the continuous dividend yield computed from the forward price, however, they are close, most of the time. For computation of the dividend yield from discrete dividend payments, you can refer to this question for a clue.

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