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Yahoo rounds the adjusted price to 2 decimals even though dividend amounts often have 3 decimal places. Since they apply the adjustment formula to adjusted prices, if you go far enough back in time, the value they give for Adjusted Price will be different than it would be if there were no rounding. edit: For example, for C (Citigroup), on January 2, 1990, ...

10

Do not passively use Yahoo where you need reliable historical data; it will just fail at one point (from what I have seen due to corporate actions/dividends not properly implemented). Paying for a single alternative data source will not save you either (Bloomberg sometimes reports crazy intraday prices); the only way is to write some data cleaning routines ...

7

Yahoo's historical data is sometimes missing dividends. For example: http://finance.yahoo.com/q/hp?s=VWINX&a=00&b=1&c=2010&d=11&e=20&f=2011&g=v (VWINX) is missing two dividends for 2011, though it has the ones for 2010. Also, this paper: http://arxiv.org/PS_cache/arxiv/pdf/1105/1105.2956v1.pdf from 2010 reports Yahoo finance ...

6

Don't subtract dividends; add them. Add-back the dividends as if they had not been paid out. That will ensure that you have a positive price when deriving the returns. For example, MSFT paid a 0.16 dividend on 2011-15-02. Here are the raw prices, according to Yahoo: date close ---------------- 2011.02.01 27.99 2011.02.02 27.94 2011.02.03 27.65 ...

4

Yahoo data is not as clean as alternative data providers such as CSI. Some issues are: i) data for some tickers is missing, ii) incorrect data (rare but it does happen), iii) sometimes they fail to merge the price histories of firms that undergoe corporate actions (i.e. merger, acquisition, or changes in corporate headquarters).

4

I read your question as you planning to calculate the daily log return as $$\log{\frac{adj.close(t)}{adj.close(t-1)}}$$ which I think might be problematic as the adjusted close does not necessarily represent a "price" that would have been traded at in the past. I think it would be better if you used the adjusted close to derive ...

3

As you pointed out there are many ways to adjust for the roll overs. Hence, I guess you would agree that there is no one-size-fits-all answer to this. It really depends on the usage of the data: First think about how the trades in your back test are structured. If they are longer-term trades and you hold over roll overs then think what you would do if you ...

3

I think the answer is in your question. Yahoo uses a percentage adjustment for adjusted close prices. So this is the procedure I would do. 1) Calculate the proper return for each day (taking into account splits and divs). 2) Apply the returns going backwards from the current price. By doing it this way it is impossible to get a negative adjusted price, ...

3

The problem is, you're calculating the "return on investment" or "return on original investment". Anytime you are given back ALL or MORE THAN your original investment, you are no longer "invested". As a result, calculating "return on investment" no longer applies. For example with a 100% return of capital, the "original investment" drops to zero. So, ...

3

There is a major bug when you are getting information from exchanges outside USA. If you get the adjusted prices for BOVESPA (Brazilian Stock Exchange) for example, it will only consider the events that happened using the US Calendar and not the Brazilian calendar of working days, this leads to a lack of information on other exchanges. Be aware of this if ...

2

Yahoo data is good enough, but it has its quirks. As people have mentioned, sometimes it does miss out on corporate actions. I remember a while back I was looking at price for Ford (F) around 1999 , and computing my own adjusted close using yahoo's methodology and noticed that yahoo was missing a dividend payment in 1999(which I verified from bloomberg). ...

1

Claudio Albanese has a paper on the topic of GPUs and CVA computations. Here is one of his papers: link to paper

1

This book is quite good as a starting point: http://www.amazon.co.uk/Counterparty-Credit-Risk-Challenge-Financial/dp/047068576X

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