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I am trying to find the growth rate of a stock over a given year.

Let's say I wanted to find the growth rate from today, June 11, 2015 to June 11, 2014. This is easy enough when you have perfect information and both sets of data exist.

However let's say June 11,2014 stock data does not exist, but June 10th and June 12th do. Which date do I compare to? Do I extend the "year" by a day and go to June 10th, or do I shorten the year and go to June 12th?

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  • $\begingroup$ Very simple, you calculate the absolute return over the two data points and then convert to an annualized rate...done. $\endgroup$ – Matthias Wolf Jun 12 '15 at 1:11
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There are several ways to do this:

If you need the price for June 11 and the market is closed on that day, you can use the price for June 10th (which is known on June 11th). I would advise against using the price of June 12th because it is not known on the 11th, so you would be "looking into the future" which is a bad idea and can lead to subtle fallacies and traps. Always use "information which could have been known on that date".

Even simpler however, is to use trading days instead of calendar years. There are about 255 trading days a year. If I have an vector P containing the prices on trading days I would just compare P[i] to P[i+255] and call that the yearly return. Put a footnote explaining how it was calculated.

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