Adjusted Prices
Posted: 29 February 2016 03:58 PM   [ Ignore ]
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I’m currently trying to pull a history of share prices adjusted for all dividends and splits (similar to what is provided on Yahoo Finance), however it seems that the cumulative factor to adjust prices only adjusts for splits and not for dividends.  Is there a way to factor in all distributions as well?

In other words, I need the “total return price”

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Posted: 01 March 2016 03:18 PM   [ Ignore ]   [ # 1 ]
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hi,

I think it is worth doublechecking the CRSP documentation. For example the monthly stock file has 2 return variables:
- 12 RET Num 8 Returns
- 21 RETX Num 8 Returns without Dividends

I’m not sure, but it sounds like this implies that RET takes dividends into account. (the same variables are on the daily stock file).

Best,

Joost

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