18

Let's assume there is no adjustment and that a stock's price is the same after a dividend payment as before. Then I could get free money simply by buying a stock the day before the ex-date and then selling the stock right after the dividend distribution. Clearly no such arbitrage opportunity exists. Therefore, the price of the stock after the dividend ...


12

What has changed The API is gone. The new downloads need 1st to parse the Yahoo Finance page to find a hidden crumb and use it as the key for data retrieval over a 2nd URL. The adjusted close is sometimes the adjusted, sometimes is the non-adjusted and sometimes is a different value Lines with literally "null" as the value for the prices have been ...


9

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, it ...


9

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 ...


4

It is indeed no rounding error, but follows from the way Yahoo computes the adjusted price: it does not reflect the actual returns of the investor. Just look at August 17 and 20. The actual close prices were 10.75 and 9.95. On August 20 the company went ex-dividend for an amount 0.4508. The return on that day is $\frac{P_t+D_t}{P_{t-1}} -1 = \frac{9.95+0....


4

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


3

As can be seen from this example from Yahoo!Finance this should not happen (click on "+ The adjusted close"): https://help.yahoo.com/kb/finance/SLN2311.html?impressions=true Another more complete example can be found here: http://luminouslogic.com/how-to-normalize-historical-data-for-splits-dividends-etc.htm So my explanation is that this is a glitch in ...


2

No. I’m watching the management of a penny stock manipulate its share price by announcing a reverse stock split and yahoo hasn’t adjusted its prices going on a week and a half. The algorithms thinks it’s a huge breakout and are buying. There’s plenty of opportunity to pickoff bad data.


1

Your return calculation should be on total return, i.e. include dividend income. Your signal, if it is price only, then you should take the price series and not adjust.


1

Whenever you are looking to estimate total return, you would use adjusted closing prices. If you are strictly looking for the future stock price, you would use unadjusted closing price. I assume, though, that you are looking to predict the value of holding a stock during a given period, so you would want to use adjusted prices. The only time I've used actual ...


1

The line of thinking is theoretically correct and it is right if you assume that: no other event happened during the trading day or in recent periods (if, for instance, one has a stock split recently, you will take into account also that and so on for all corporate events); The dividend is a cash-dividend (in the case you will have a stock-dividend things ...


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