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14

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 ...


8

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

I know you mentioned that you already know about Yahoo's ability to do this. However, I thought I'd add the following snippet on how to do this with Yahoo. It's a trivial HTTP Get, and is likely the quickest and easiest way to get the information you're after: > curl "http://download.finance.yahoo.com/d/quotes.csv?s=CSCO&f=j1" 86.991B That will ...


6

Hmm, this table looks wrong. Here's what it should look like. After the most recent corporate action, the Close and Adjusted Close should be the same; only prices from before the most recent action should have a different Adjusted Close. Here's another example. I think Yahoo just has the wrong information. If you wanted to derive your own adjustments for ...


5

From Yahoo! Finance Help The Beta used is Beta of Equity. Beta is the monthly price change of a particular company relative to the monthly price change of the S&P500. The time period for Beta is 3 years (36 months) when available. Source: https://help.yahoo.com/kb/finance/SLN2347.html?impressions=true (+Stock Price History)


5

Concerning adjusted price series: Free yourself from terminology and definitions, as you can clearly see, Yahoo Finance got it wrong on the stock split you linked to (and as chrisaycock correctly pointed out). You need to focus on the problem not the term people use to describe the problem: You need to adjust time series for the stock split, period. So, ...


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 \begin{equation} \log{\frac{adj.close(t)}{adj.close(t-1)}} \end{equation} 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 ...


4

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 ...


4

See Yahoo Query Language (YQL) blog: Getting stock information with YQL and open data tables. Go to the YQL console, and use the following query: select MarketCapitalization from yahoo.finance.quotes where symbol in ("YHOO","AAPL") Here is key part of the result: <results> <quote> ...


3

Yahoo Finance calculates beta from monthly prices over a time of three years. The S&P500 is used as the benchmark You need 37 monthly prices (so you can get 36 returns) on the first trading day of each month. The final price should be on the first trading day of the previous month. The first price should be on the first trading day of the month 36 ...


3

some links which might help you http://quant.caltech.edu/historical-stock-data.html In the quantmod R package ,the split information is in the "Dividend Only" CSV: http://ichart.finance.yahoo.com/x?s=IBM&a=00&b=2&c=1962&d=04&e=25&f=2011&g=v&y=0&z=30000


3

The stock was split into two share classes, the series that you might be looking for is under the ticker GOOGL.


3

I think this question has been answered here before (regarding yahoo finance & historical data). Most free providers of historical data do not take the time to go back & $fix$ the data discrepancies such as the one you ran into. I believe they just collect/update data as it comes I.e. Stock splits, dividend payments. However, the Adjusted Close ...


2

Errors in some data can cause the calculation to go awry. For EPD, I have reported that they believe the stock had a 2:1 split on August 21, 2014 and on August 22, 2014. Only one of these splits occurred, so all the split adjusted data is off by a factor of 2 before the split that did not happen. I reported this error in August, but in November I noticed ...


2

Yahoo Historical Prices will seem fine for a while, and then you'll discover missing dates, or that it stops getting updated for a week or so.


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). ...


2

This is an example of minimum price variation (also known as the minimum price increment or the minimum price fluctuation). All public quotes for US equities are displayed to the nearest penny. (Hidden quotes may be entered at sub-penny increments.) US stock indices follow this convention and thus quote to the nearest penny. The oil listing is odd indeed. ...


2

These are actually known as equity analyst recommendations, and although the terms differ, virtually all of them grade on a 5-point scale. Much academic research has been done using analyst recommendations, typically using the I/B/E/S database (see, e.g. Sorescu and Subrahmanyam (2006)). IBES distinguishes five categories of recommendations, labeled 1 ...


2

Beta calculation varies quite a bit as you've already noted. Using monthly or weekly closing prices is fairly common though; I don't know of anyone who uses daily prices. Yahoo gets its data from CapitalIQ so you may want to look over there. Good luck!


2

You might be interested in this link: https://www.dukascopy.com/swiss/english/marketwatch/historical/ It's not as good as Reuters or Bloomberg data, but it's free.


2

Option #1 - If you need historical data you can use one of the links from other answers http://eareview.net/tick-data/download-free-tick-data Training set of tick-by-tick data? Option #2 - Also, historical data can be exported from Metatrader or Ninjatrader : https://www.mql5.com/en/articles/27 (OHLC bars only) ...


1

You need the "adjusted high". However, Yahoo Finance does not provide that: https://help.yahoo.com/kb/SLN2311.html However you can adjust manually. From the Normal Close and the Adjusted Close just compute the adjustment factor and then manually adjust the High.


1

Oanda also offers tick data for free provide you have an account with them and maintain a balance in excess of $1,000 (academic exceptions are possible). The data can be downloaded from https://fxtrade.oanda.com/trade-forex/fxtrade/historical-data It appears that you need to log in to see the relevant restrictions but I have included them here for people ...


1

Intraday data on FX markets are not publicly available. I can only recommend a paid source where you may eventually ask for a student trial: http://thomsonreuters.com/en/products-services/financial/quantitative-research-and-trading/tick-history.html


1

They split the company into two: ABT and ABBV. http://www.forbes.com/sites/brucejapsen/2012/10/17/a-less-acquisitive-abbott-labs-will-split-in-two-come-january/


1

The Zacks API should have this data, see http://www.zacksdata.com/zacks-data-api (Disclosure: The API is managed by my company)



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