Hello everyone,

I notice that the formula for calculating total return including dividends given on the CRSP documentation (seen here: http://leiq.bus.umich.edu/docs/crsp_calculations_splits.pdf) is:

Total Return = (adjprc + (divamt / cumfacpr / facpr)) / prev_adjprc -1

However, as facpr is often 0 this formula would return an error. What am I getting wrong?

I suspect the reason behind this is that facpr refers to “factor to adjust price in period” and not “factor to adjust price”. However I do not really understand how to derive “factor to adjust price in period” from “factor the adjust price”. The CRSP documentation states:

Factor to Adjust Prices in Period is the amount the current price is multiplied by in returns calculations so that current

and previous prices are on the same split-adjusted basis. Factor to Adjust Prices in Period is derived from the

Factor to Adjust Price (Page 61) field of distributions with Ex-Distribution Dates after the previous period and up to

and including the current period. In simple stock splits, Factor to Adjust Prices in Period is distribution Factor to

Adjust Price plus one.

What does this actually mean and is it relevant for my problem of calculating the total return?

Thank you!