I wonder whether the Dow Jones annual return data come from WRDS. I wasn't able to find it under either CRSP or Compustat. If it's not, could you please point out a direction of where we should be looking for the data? You have suggested us to go to the Dow Jones official site for total return data. The Dow Jones Total Return on the site is only available in daily, not yearly, and it only goes back to 1987. See http://www.djaverages.com/?go=industrial-index-data

Unfortunately, CRSP is making it harder to get Dow data; their Dow index only goes back to 1987, and only goes forward to 2007 for some reason; I suppose they stopped providing. What's worse, YAHOO no longer allows you to download all historical data in a spreadsheet. However, the Dow website does have data for the regular DJIA and the total return, so take that back as far as you can. You'll have to use daily returns to build up the annual return; you could do a sensitivity analysis to see how the daily granularity affects the end of year return, but that is not required.