I have price series data with open, high, low, close and adjusted close for different companies. I am not sure whether this data is adjusted for stock splits or not and would like to know how to check that.
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3$\begingroup$ Find a company contained in your dataset that you know had a stock split and check whether the prices are adjusted for it..? If you don't know such a company, then a good starting point is to check the options exchange websites for past contract adjustments due to stock splits. $\endgroup$– LocalVolatilityFeb 7, 2018 at 13:07
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1$\begingroup$ You'd also want to check for distributions: dividends, spinoffs, etc.... Eg. when Occidental petroleum spun off California Resource Corporation to shareholders, is that reflected in returns properly? There are also delisting returns. If a company gets delisted from the NYSE, what return did investors eventually get? Coming from academia, I'm most familiar with CRSP which has invested a tremendous amount into getting everything right, and there's a reason carefully curated data is expensive. $\endgroup$– Matthew GunnFeb 7, 2018 at 16:20
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$\begingroup$ Looking at options for splits is an exercise in futility. First, not all stocks offer options. Second, web sites exist that list splits. $\endgroup$– Bob BaerkerFeb 7, 2018 at 19:28
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2 Answers
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Only unadjusted data will permit you to see the stock split. You cannot look at adjusted data and tell if a split occurred.
The are a variety of sites that list stock splits (Google: "Stock Split Calendar"). Fidelity provides a reliable one on a monthly basis. You'll have to capture it a month at a time of you want a historical list:
https://eresearch.fidelity.com/eresearch/conferenceCalls.jhtml?tab=splits&begindate=2/1/2018
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Stock splits makes the company shares more marketable and in this case doesn't affect their seed capital. It's rather book trick. So, first of all you should find a company that have made a split and compare it stock price day before and after that operation. This scenerio should be easy to see because stock splits are make by high-priced company so their market price (per share) after it is rather much lower than before. To be more reliable you can check it through some financial data provider as I mentioned below and compare it to your dataset.
Here's some example.
Apple (AAPL) on 9 June, 2014 made split 7:1, so total shares on market increased (7x times), but price per share was divided by 7. In this example price per share before this event occured was over \$640 and after not much over $90.
If some company make operations like splits, dividends, etc you can check at google / yahoo finance. There also would be a date when that events occured.
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$\begingroup$ Allready I cannot comment others but I have something to mention about in this topics. You allready should look at this data and get clue if it's adjusted ONLY if the SOURCE provide that information. In the case I explaind it's clearly showed. But friend below who also answeared are right only when your dataset doesn't provide that type of information (Close should differ from Adj. Close price) and I didnt mentioned that in my answer. However, the solution I've mentioned is the easiest way to obtain this information, because not every stocks offer options for their specific market shares. $\endgroup$ Feb 8, 2018 at 0:10