I read in Boglehead's Guide to Investing (second edition):

Stock dividends can be a major source of fund returns. Since 1926, when reliable data first became available, dividends have accounted for approximately 35 percent of total return.

What happened in 1926 that made data on stock dividends reliable?

  • 1
    The best guess is that the collection of data from all companies issueing stocks did not start until around 1926. Back in those days stocks were paper and many smaller companies with stocks weren't on any stock exchange. Usually you'd have to hand in a physical coupon cut from a sheet to get dividends.
    – Bent
    Jan 21 '18 at 20:16
  • 1
    They started keeping track, don't think about it too hard. Maybe that year they switched storage systems that made it easier to disseminate information (of course waaaay pre-internet). Jan 22 '18 at 5:33
  • By "stock dividends", do you mean "cash dividends"?
    – Flux
    Sep 19 '20 at 8:11
  • Ironically, dividends provide zero total return. Sep 19 '20 at 12:49

So I was able to find a source for timing around the 1926 date:

The Chicago Booth Center for Research in Security Prices

states that their initial correction for cash dividends came from:

  • 1926-1936: Moody’s Quarterly Dividend Record

Since the only known complete file of this last publication was in Moody’s New York offices, the data from the earlier period were recorded in the Moody’s offices by trainees working for the research division of Merrill Lynch, Pierce, Fenner & Smith Inc.

See: http://www.crsp.uchicago.edu/products/documentation/data-sources

Curiously this last part appears to be a quote from 1964 article titled "Rates of Return On Investments In Common Stocks" by L. Fisher and J.H. Lorie

1964 article from the University of Chicago Journal Of Business: http://www.crsp.org/50/images/rates%20of%20return%20paper.pdf

More of a side note:

While Robert Schiller states on his Online Data page at Yale that for his book Irrational Exuberance:

Monthly dividend and earnings data are computed from the S&P four-quarter totals for the quarter since 1926, with linear interpolation to monthly figures. Dividend and earnings data before 1926 are from Cowles and associates (Common Stock Indexes, 2nd ed. [Bloomington, Ind.: Principia Press, 1939]), interpolated from annual data.

So it appears for academic purposes approximations from annual data are used for pre-1926 analysis and quarterly values for post-1926 analysis.


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