Green’s Dictionary of Slang

a sensationally written ‘true crime’ story, sold for one penny.

1890		Academy 1 Feb. 78 col. 1: Mr. George Manville Fenn is an old hand at a story with an alarming title [...] The only thing we can say against his last ‘dreadful’ is that it is a little deficient in ‘body’ [F&H].
1894		Truth (Sydney) 29 July 5/7: He had absorbed any quantity of blood-and-thunder detective stories, twopenny horribles and wild-cat literature of all kinds.
1900		Nat. Police Gaz. (NY) 1 Sept. 11/3: One of the ‘yellow’ dreadfuls appeared with the following sensational headlines [etc].
1910		Sun. Times (Perth) 22 May 2nd sect. 12/4: An account given in Melbourne ‘Punch’ of Charlie Frazer’s race for a portfolio reads almost like an agony chapter from a yellow-backed dreadful.