From Yahoo! Finance Help
The Beta used is Beta of Equity. Beta is the monthly price change of a particular company relative to the monthly price change of the S&P500. The time period for Beta is 3 years (36 months) when available.
Source: https://help.yahoo.com/kb/finance/SLN2347.html?impressions=true (+Stock Price History)
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 ...
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 ...
I know you mentioned that you already know about Yahoo's ability to do this. However, I thought I'd add the following snippet on how to do this with Yahoo. It's a trivial HTTP Get, and is likely the quickest and easiest way to get the information you're after:
> curl "http://download.finance.yahoo.com/d/quotes.csv?s=CSCO&f=j1"
That will ...
Yahoo Finance calculates beta from monthly prices over a time of three years. The S&P500 is used as the benchmark
You need 37 monthly prices (so you can get 36 returns) on the first trading day of each month.
The final price should be on the first trading day of the previous month.
The first price should be on the first trading day of the month 36 ...
There is a major bug when you are getting information from exchanges outside USA. If you get the adjusted prices for BOVESPA (Brazilian Stock Exchange) for example, it will only consider the events that happened using the US Calendar and not the Brazilian calendar of working days, this leads to a lack of information on other exchanges.
Be aware of this if ...
some links which might help you
In the quantmod R package ,the split information is in the "Dividend Only" CSV:
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 ...
Option #1 - If you need historical data you can use one of the links from other answers
Training set of tick-by-tick data?
Option #2 - Also, historical data can be exported from Metatrader or Ninjatrader :
https://www.mql5.com/en/articles/27 (OHLC bars only)
Beta calculation varies quite a bit as you've already noted. Using monthly or weekly closing prices is fairly common though; I don't know of anyone who uses daily prices. Yahoo gets its data from CapitalIQ so you may want to look over there. Good luck!
I think this question has been answered here before (regarding yahoo finance & historical data). Most free providers of historical data do not take the time to go back & $fix$ the data discrepancies such as the one you ran into. I believe they just collect/update data as it comes I.e. Stock splits, dividend payments. However, the Adjusted Close ...
This is an example of minimum price variation (also known as the minimum price increment or the minimum price fluctuation).
All public quotes for US equities are displayed to the nearest penny. (Hidden quotes may be entered at sub-penny increments.) US stock indices follow this convention and thus quote to the nearest penny.
The oil listing is odd indeed. ...
These are actually known as equity analyst recommendations, and although the terms differ, virtually all of them grade on a 5-point scale. Much academic research has been done using analyst recommendations, typically using the I/B/E/S database (see, e.g. Sorescu and Subrahmanyam (2006)).
IBES distinguishes five categories of recommendations, labeled 1 ...
Errors in some data can cause the calculation to go awry. For EPD, I have reported that they believe the stock had a 2:1 split on August 21, 2014 and on August 22, 2014. Only one of these splits occurred, so all the split adjusted data is off by a factor of 2 before the split that did not happen. I reported this error in August, but in November I noticed ...
Yahoo data is good enough, but it has its quirks. As people have mentioned, sometimes it does miss out on corporate actions.
I remember a while back I was looking at price for Ford (F) around 1999 , and computing my own adjusted close using yahoo's methodology and noticed that yahoo was missing a dividend payment in 1999(which I verified from bloomberg). ...
As for now, below API would give a nice JSON response:
Yahoo Finance current quote API still does not work for SS stocks as of Feb 2016. I ended up scraping data from the UI:
Login to Yahoo Finance
Create view (in my case v3) with fields you'll need
Construct URL with your comma separated symbols (200 max) and new view version, ...
You can download all the company names and values and a lot of other stuff from the Nasdaq or NYSE via http://www.nasdaq.com/screening/company-list.aspx in .csv , then you can process that with df = pd.read_csv(Filename.csv)
That's quite odd, I have no explanation, so I'd suggest look at different source of the data. Bloomberg if you got access to it, or Finance Google. FG shows same data and the CSV looks alright - same data as the online table.
Maybe contact yahoo finance that there's a glitch, I never came across something like that.
Yahoo prices are adjusted for all applicable splits and dividend distributions. Data is adjusted using appropriate split and dividend multipliers, adhering to Center for Research in Security Prices (CRSP) standards.
Yahoo finance provides a knowledge base article on the adjusted close:
Since your last download, ...
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.
Oanda also offers tick data for free provide you have an account with them and maintain a balance in excess of $1,000 (academic exceptions are possible). The data can be downloaded from
It appears that you need to log in to see the relevant restrictions but I have included them here for people ...
Intraday data on FX markets are not publicly available. I can only recommend a paid source where you may eventually ask for a student trial: