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I'm currently doing a university project which required historical stock price data that is adjusted for splits and dividends. I need the adjusted open, close, high, and low. However, all sources I've been able to find only offer adjusted close.

This may be a silly question, but why is this? And is there an easy way to get the adjusted open, high, and low?

  • I subscribe to Thomson Reuters for EOD data. Like all of data providers that I have used (Yahoo Finance, the Nasdaq, etc.), they adjust the all parameters for stock splits but do not adjust the OHL for dividends. I have no idea why. – Bob Baerker Feb 13 '18 at 13:25
  • I'm currently trying to use Alpha Vantage. Is there an easy way I can check whether they have adjusted for dividends? – Oliver Crow Feb 13 '18 at 13:30
  • Go to Yahoo or the NASDAQ and compare some ex-div stocks to Alpha Advantage finance.yahoo.com/quote/VLO/history?p=VLO – Bob Baerker Feb 13 '18 at 13:50
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There are no silly questions!

The answer to this is simple: Adjust the open, high and low according to the same factor as the close to the adjusted close.

eg. OHLC are 10,11,9,10. Adjusted Close is 5. Factor is therefore 10/5 = 0.5. Multiply each OHL by 0.5 for the adjusted OHL.

This assumes that the "Adjusted Close" is adjusted for all events (including splits, reverse splits, stock dividends, spinoffs, corporate restructures, rights issues, trading currency changes, special distributions/dividends,capital gains payments, liquidation payments, and normal distributions/dividends).

If your data is not adjusted for all such events then you do have a big job on your hands obtaining the exact details of each event, calculating a "dilution factor" for each one and applying it to the original (unadjusted) data. That's precisely what a data vendor does - you need to check the documentation carefully.

  • While the OHL adjustment is straightforward, if you want to study 10 years of data on a stock that has quarterly dividends, you'll have to look up 40 dividends. If the study involves involves 100 stocks, that's an awful lot of "simple" work to do. – Bob Baerker Feb 13 '18 at 13:25
  • Thanks for the replies! Do the adjusted close values not already include the dividends? If not, what would the calculation for adjusted OHL values look like? – Oliver Crow Feb 13 '18 at 13:27
  • The close is adjusted by the dividend on the ex-div date but OHL are not. For example, yesterday Valero Energy (VLO) went ex-div for 80 cents. You'd have to download your data and then reduce the OHL by 80 cents. But that only fixes 90 days of data. If you want to look at 180 days then you have to adjust the previous quarter by the 70 dividend of 11/20/17. It's a real roblem if you wantto study many years of data and even nightmarish if you want to look at 100's of stocks. I would continue to scour the web to see if anyone does it otherwise. I doubt it but I don't see any other answer. – Bob Baerker Feb 13 '18 at 13:49
  • Oliver - it depends upon your data source as to whether dividends (and which types) of dividends are included in the adjustment calculation. – Norgate Data Feb 14 '18 at 0:09
  • Ok thanks very much for the information, I'll have more of a look into it. – Oliver Crow Feb 14 '18 at 13:31
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Tiingo offers adjusted prices and volume. Yahoo data, while of bad quality, can be used in limited extent but you need to run adjustments on your own based on the close (calculate an approximate dividend factor).

  • same with Quandl – rocketman Feb 16 '18 at 22:33

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