# Tag Info

4

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

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

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Simple: Divide the share price by the split factor. Multiply the volume by the split factor. Let's use Apple's 7/1 split from Monday June 9, 2014 as an example. The split factor was 7/1 or 7. The closing price on Friday June 6, 2014 was 645.57 and the volume was 12497800. After the split, the closing price for Friday June 6, 2014 was adjusted to 92.22 ...

3

Yes. The Options Clearing Corp handles this in a way that you would expect. 2 for 1 splits are easy: strike prices are halved and you get 2 for every 1 that you had before. Then everything continues trading as before. Non-standard splits, mergers, and other share dividends become more complex. On a 3 for 2, split, the share count is changed, the strikes are ...

3

The methodology has to be wrong to generate negative prices. Dividends and splits both generate proportional shifts in nominal prices, that are positive. A proportional shift to any positive number generates a positive number. The problem with the company given is that it seems to pay a >100% dividend to its previous close, which is why the previous adj ...

3

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....

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I've used various data sources (including Yahoo) and their data is sometimes wrong. You can write code for sniffing out the errors. For all providers I've had to add "cleaners" to look for errors and make adjustments. If you use Google Finance etc you'll have random errors too. If you're making a private database then the adjustments need to be tracked in a ...

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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/

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One possible route would be to get the historical price data from Yahoo and use disparities between the Close returns and the Adjusted Close returns, given a certain threshold value, and where the disparity passes that threshold is where the splits have occurred. Find the Close returns where that condition was met, maybe round the number to the nearest ...

2

I believe the volumes are normally adjusted. Here is the yahoo data around Dec 23 2015 when Nike did a 2:1 split: Dec 30, 2015 64.36 64.40 63.17 63.25 61.49 5,817,900 Dec 29, 2015 64.31 64.48 64.02 64.26 62.48 6,708,600 Dec 28, 2015 63.21 63.88 62.80 63.81 62.04 8,704,400 Dec 24, 2015 64.55 64.73 62.15 63....

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Disregarding exogenous factors, the unit of Gamma is 1/$and the unit of Vega is \$/sigma so the raw greek values will change in a stock split. Including exogenous factors, you're right, implied volatility and the greeks could change from the reaction to the event.

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This seems to work for me: library(quantmod) # import data sym <- "SHANTIGEAR.BO" x <- getSymbols(sym, auto.assign = FALSE) div <- getDividends(sym) spl <- getSplits(sym) # calculate adjustment ratios ratios <- adjRatios(close = Cl(x), dividends = div, splits = spl) # apply adjustment ratios to original data adjusted <- ...

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This has already been answered but I will try to provide more insight. The formula that you should use for forward adjusting: $$P_{adj, j}=P_{unadj, j}*\prod_{i=1}^{j} f_i$$ $$f_i=1+\frac{d_i}{P_{unadj, i}}$$ where $d_i$ is a dividend paid on day $j$ and $P_{unadj, j}$ is unadjusted price for that day. for backward adjusting we have: P_{adj, j}=P_{unadj,j}*...

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All the events that affect shares outstanding happen overnight.

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I don't think you'll find a Bloomberg FLDS event to get all upcoming corporate actions. But using the terminal you can use CACS<GO> to get a list of all upcoming corporate actions for a particular ticker. I'm not sure if you can do the same whit an equity screen EQS.

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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.

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