Do you guys know if a paper has been published that discusses forward- and backward adjusted stockprices, and the look ahead bias coming from backward adjusted data?

  • $\begingroup$ There is no look ahead bias when you backward adjust price data in a market standardized fashion, hence no paper needed to do just that. $\endgroup$ – Matt Oct 22 '12 at 11:12
  • $\begingroup$ That's what many people claim though. Do you know about a general paper discussing backward and forward adjustments for corporate actions. $\endgroup$ – Paznaz Oct 22 '12 at 11:40
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    $\begingroup$ @Paznaz Who claims this? Show us an example. Adjusting a stock price for corporate actions is a requirement, not some fuzzy approach to valuation. There is no "bias" when subtracting dividends that have already been paid, or multiplying the shares outstanding by a split that has already occurred. $\endgroup$ – chrisaycock Oct 22 '12 at 12:45
  • $\begingroup$ I have no published paper on this, but when you are backtesting using backward adjusted data, you are using information that is not available in the market at the time of the backtest, hence you have look ahead bias. Forward adjusting (undoing the corporate action effect) is generally seen as the better approach. $\endgroup$ – Paznaz Oct 22 '12 at 13:59
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    $\begingroup$ @Paznaz If you have a question about anything relating to this site, leave a comment like everyone else. Do not email my personal account about issues related to Stack Exchange. $\endgroup$ – chrisaycock Oct 23 '12 at 11:14

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