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Yahoo uses the CRSP method (see: factor to adjust price) to back-adjust old prices when dividends and splits occur, so it's not as misleading as you're probably

Yahoo uses the CRSP method (see: factor to adjust price) to back-adjust old prices when dividends and splits occur, so it's not as misleading as you're probably thinking. I'd be surprised if the others didn't do something like this too.

compumike 4y ago
Yahoo does have this “Adjusted Close” column available in their historical data downloads, but they do not use it for charts. Their charts are price-only. Same with Google Finance and Apple Stocks.
- NovemberWhiskey 4y ago
  Definitely not seeing Alphabet's 20:1 split in July 2022 when I glance at Yahoo Finance charts - you sure about that? Or are you saying they're adjusted for some corporate actions but not for others? EDIT: OK, I see there's a note that close is split-adjusted but not dividend-adjusted.
  - compumike 4y ago
    That’s correct: their charts are split-adjusted but that’s all.
    - Galanwe 4y ago
      Dividend adjustment wouldn't really matter in this study. The price discount at dividend ex date should match the price increase post earnings announcements, so it's netted and disappears once you compute >=quarterly returns.
      - dmurray 4y ago
        This is not correct. The price increase at earnings announcements is (to a first order approximation) indicative of the extent to which the company's earnings exceeded the market's expectations. It's as likely to be positive as negative. Otherwise you could buy the company's stock the day before the earnings announcement and get yourself some free money.
- nathanasmith 4y ago
  I use TradingView for most of my charting and at the bottom right side there's a button labeled "adj". Clicking it will toggle whether the chart you're viewing is dividend adjusted or not. Very convenient for quick off the cuff comparisons of returns. Using SPY I can easily see the non adjusted returns from the bottom of the GFC to the top in 2021/2022 were a little over 600% but then accounting for dividends see it's actually a bit over 800%.
  - compumike 4y ago
    For SPY, from 2009-03-09 to 2022-01-03, I get +588.5% total real return, +16.24%/year, after adjusting for dividends and inflation: https://totalrealreturns.com/s/SPY?start=2009-03-09&end=2022-01-03 https://totalrealreturns.com/s/SPY?start=2009-03-09&end=2022...
    - nathanasmith 4y ago
      I'm pretty sure Tradingview doesn't take inflation into account.

compumike 4y ago

Yahoo does have this “Adjusted Close” column available in their historical data downloads, but they do not use it for charts. Their charts are price-only. Same with Google Finance and Apple Stocks.

NovemberWhiskey 4y ago
Definitely not seeing Alphabet's 20:1 split in July 2022 when I glance at Yahoo Finance charts - you sure about that? Or are you saying they're adjusted for some corporate actions but not for others? EDIT: OK, I see there's a note that close is split-adjusted but not dividend-adjusted.
- compumike 4y ago
  That’s correct: their charts are split-adjusted but that’s all.
  - Galanwe 4y ago
    Dividend adjustment wouldn't really matter in this study. The price discount at dividend ex date should match the price increase post earnings announcements, so it's netted and disappears once you compute >=quarterly returns.
    - dmurray 4y ago
      This is not correct. The price increase at earnings announcements is (to a first order approximation) indicative of the extent to which the company's earnings exceeded the market's expectations. It's as likely to be positive as negative. Otherwise you could buy the company's stock the day before the earnings announcement and get yourself some free money.
nathanasmith 4y ago
I use TradingView for most of my charting and at the bottom right side there's a button labeled "adj". Clicking it will toggle whether the chart you're viewing is dividend adjusted or not. Very convenient for quick off the cuff comparisons of returns. Using SPY I can easily see the non adjusted returns from the bottom of the GFC to the top in 2021/2022 were a little over 600% but then accounting for dividends see it's actually a bit over 800%.
- compumike 4y ago
  For SPY, from 2009-03-09 to 2022-01-03, I get +588.5% total real return, +16.24%/year, after adjusting for dividends and inflation: https://totalrealreturns.com/s/SPY?start=2009-03-09&end=2022-01-03 https://totalrealreturns.com/s/SPY?start=2009-03-09&end=2022...
  - nathanasmith 4y ago
    I'm pretty sure Tradingview doesn't take inflation into account.