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I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need a daily/weekly frequency. Does anyone have any ideas?

Is is possible to use the S&P500 price and total return indexes to calculate daily dividend? And if so, how do you do this? I have tried something like this but then I get stuck with a static 252-trading day moving average.

Note; interpolating quarterly data to a daily frequency is sadly not an option.

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  • $\begingroup$ There are many services that keep track of dividend payments (dates and amounts for a large number of stocks). Unfortunately I don't know any free ones (the one that I know costs 150). $\endgroup$
    – nbbo2
    May 23, 2020 at 13:12
  • $\begingroup$ I assume you have already looked at this quant.stackexchange.com/questions/36440/… but it wasn't helpful for some reason (I did not understand your remark about 252 day moving average). $\endgroup$
    – nbbo2
    May 23, 2020 at 17:05

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I would use the difference between simple return (price change) and total return gross of dividend withholding tax.

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  • $\begingroup$ This might be a good starting point but I wonder if the numbers to be calculated using these two series would be useful enough as S&P 500 price index is also adjusted for special dividends. $\endgroup$
    – Alper
    Sep 22, 2021 at 3:11
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Are you trying to estimate what would happen if there were daily dividends?

If so you could try:

  1. Find the geometric $g$ rate of all quarterly $D$
  2. Convert the quarterly $g$ rate into daily,
  3. Find starting day $D_{0}$ and from there calculate $D(1+g)$... till you’ve found all wanted daily dividend streams

This would be how I’d attempt to find it. This is weird tho... dividends aren’t always paid, especially not daily.

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  • $\begingroup$ Thanks for the edits $\endgroup$
    – JazKaz
    May 24, 2020 at 1:37

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