The song was written in 1919 for the unsuccessful musicalZip, Goes a Million. In 1920, it was published[1] and reused in the musical Sally whence it was popularized by Marilyn Miller. Among others, it was later covered several times by Judy Garland, whose version also became, and remains, well-known.
A 1949 biopic was released with the same title as the song is about Marilyn Miller.
Marion Harris' recording of the song is (anachronistically) featured in a memorable dance scene between Lady Mary and Matthew Crawley in the popular Masterpiece Classic series Downton Abbey. The scene can be viewed in Episode 8 of Series 2 where the plot-line reached early-to-mid 1919; however, the recording was not made until 29 December 1920.
^Andrews, Frank; Hayes, Jim; Smith, Michael (2010). Columbia Graphophone Company Ltd., 'DB' prefixed catalogue series. and 'LB' clef series. of 10 inch 78 rpm records. City Of London Phonograph and Gramophone Society.