In a paper that I'm reading it says:
We collect monthly observations on the Nasdaq composite price index (without dividends) and the Nasdaq composite dividend yields, and compute the Nasdaq composite dividend series from these two series. We use the Consumer Price Index (CPI), which is obtained from the Federal Reserve Bank of St. Louis, to convert nominal series to real series.
the paper does not explain the details, so I have the following questions:
- The Nasdaq composite price index is the ^IXIC and can be downloaded from Yahoo! Finance website (Historical data -> Historical Prices). Who are the Nasdaq composite dividend yields? Maybe the "Dividends Only" in previous link? (But, anyway, they are missing).
- What is the procedure to obtain the the Nasdaq composite dividend?
- What is the procedure to convert nominal series to real series through CPI?