# How to find/calculate daily S&P500 dividends?

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.

• 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). – noob2 May 23 '20 at 13:12
• 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). – noob2 May 23 '20 at 17:05

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

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.

• Thanks for the edits – JazKaz May 24 '20 at 1:37