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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 ...


3

Not sure I understand your question. If I have a fixed stream of payments it has some value $V_{fixed}$ I can always solve for a spread to LIBOR by simply adding the spread $S$ to my calculated stream of LIBOR. That is the value of the LIBOR + spread leg is $$ V_{LIBOR}(S) = \sum_{n=1}^{N} D(t_{n}) \alpha(t_{n-1},t_{n}) [L(t_{n-1},t_{n}) + S] $$ where ...


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, ...


2

The best way to answer the question is to look at the data. For example, on H&M in April 2000: Close Price Div 31/03 240 13/04 236 14/04 225 1.35 28/04 238 ThomsonReuters, Bloomberg and Factset do the following calculation for the return (+/- rounding): r = 236/240 * (225 + 1.35)/236 * 238/225 - 1 = -0.24% ...



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