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5 votes
Accepted

How to adjust trading volume based on stock splits?

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 ...
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3 votes

What happens when you buy call options on a stock that does a stock split

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 ...
  • 531
3 votes

Asset Pricing and Negative Prices

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 ...
  • 4,961
3 votes
Accepted

Yahoo data meaning of "close" and "adjusted close"

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 ...
3 votes

Identify stock split from historical price data

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 ...
2 votes
Accepted

Is the historical volume data from Yahoo-Finance adjusted for splits?

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 ...
2 votes
Accepted

Yahoo OHLC data reflects nonexistant stock split

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/
2 votes

What is the distribution of stock splits?

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 ...
2 votes

Greeks and splits

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 ...
2 votes

How to verify the split history of SPB?

Looking at the price history on Yahoo finance: Observe the footnotes: *Close price adjusted for splits.**Adjusted close price adjusted for splits and dividend and/or capital gain distributions. ...
1 vote

Verify the split history of BF.A

The source of the error in Yahoo Finance is CSI Data, who provide the data to Yahoo. This error is present in their product, Unfair Advantage. This issue is present in that they have accounted for ...
1 vote

Verify the split history of BF.A

What problem(s) are you trying to solve here? If you're trying to convince yourself that free data on the Internet is not fully trustworthy, then you have already succeded hundredfold. If you're ...
1 vote
Accepted

How to verify the split history of SPB?

Despite what Yahoo states in their footnotes: the OHL data has also been adjusted. In this case, Hargbinger Group (HRG) initiated a reverse merger with Spectrum Brands Holdings, on the basis of 0....
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1 vote

Asset Pricing and Negative Prices

This seems to work for me: ...
1 vote

Asset Pricing and Negative Prices

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_{...
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1 vote
Accepted

Do corporate events happen intraday?

All the events that affect shares outstanding happen overnight.
  • 1,533
1 vote

Handling upcoming corporate actions for equity portfolio

I don't think you'll find a Bloomberg FLDS event to get all upcoming corporate actions. But using the terminal you can use ...
  • 1,349
1 vote
Accepted

Yahoo finance, interactive chart and historical prices are different

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 ...
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