Yahoo Finance allows you to download tables of their daily historical stock price data.
The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a first step to other kinds of analyses.
To calculate the adj. close you need to know all the splits and dividends, and ex-div and ex-split dates. If someone gets this wrong it should create some anomalous returns on the false vs. true ex dates.
Has anyone seen any major problems in the adj. closing price data on Yahoo Finance?
Answer
Yahoo rounds the adjusted price to 2 decimals even though dividend amounts often have 3 decimal places. Since they apply the adjustment formula to adjusted prices, if you go far enough back in time, the value they give for Adjusted Price will be different than it would be if there were no rounding.
edit: For example, for C (Citigroup), on January 2, 1990, Yahoo gives a close value of 29.37 and an Adjusted value of 1.50. Using the dividend data that Yahoo supplies, if they didn't round to cents on every adjustment, the adjusted value would be 1.677.
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