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Straightforward question;

Is it possible to find dividend yields of the S&P 500 on a daily basis (or at least the dividends of the S&P 500)?

I have been looking everywhere and can't find anything on daily frequency. I am almost convinced that they do not come in daily data; but one cannot always be so sure.

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  • $\begingroup$ How exactly do you define daily dividend yield? And are you looking for historical or implied data? $\endgroup$ – LocalVolatility Oct 14 '17 at 11:56
  • $\begingroup$ are you looking to pay for it? I doubt reliable div yields will be available for free. $\endgroup$ – will Oct 14 '17 at 12:11
  • $\begingroup$ S&P 500 div yield It used to be free, but it is no longer included in free databases (Fred, etc.) because of objections by the S&P company, which owns it. $\endgroup$ – Alex C Oct 14 '17 at 17:20
  • $\begingroup$ will that is why I am asking, i am looking to find if it exists somewhere reliable. Alex C i see! thank you for the input! $\endgroup$ – Hercules Apergis Oct 15 '17 at 9:16
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I imagine the easiest way to do this is to infer from the price index and the total return index.

Recall that the daily total return is (roughly) $$ TR = \frac{P_{t-1} + d_t}{P_t} - 1, $$ while the price index is simply $$ PR = \frac{P_{t-1}}{P_t} - 1,$$ where $P_t$ is the index level at time $t$ and $d_t$ is the dividend (in index points) at time $t$.

As an example, S&P 500 returned -0.168675% on 10/12/2017, while the S&P 500 total return index returned -0.160054$. The difference of 0.008621% reflects the impact of dividends. Given the index level of 2555.23999, this implies a dividend (in points) of 0.02200424 points.

To translate this into a dividend yield equivalent, you'd calculate this daily, take the 1-year moving sum and divide by the index level.

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  • $\begingroup$ Aha, i see! I will accept the answer cause it really is correct and awesome. But just wondering if you also have seen such data availability to be online in a database (say i.e. Bloomberg). $\endgroup$ – Hercules Apergis Oct 14 '17 at 22:36
  • $\begingroup$ S&P 500 price and total return indices are readily available on BBG, but not daily dividends. Most daily dividend yields you see are simply monthly dividends divided by the daily price index levels. Frankly speaking, I'm not sure what you're trying to do... Daily dividend yields are not particularly useful – these are heavily smoothed series (trailing 12m), and the day to day changes are not insignificant. $\endgroup$ – Helin Oct 14 '17 at 23:41

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