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Historical Data Split and Dividend Adjustment Errors in EEM

Established 'Hoo

Historical Data Split and Dividend Adjustment Errors in EEM

The split and dividend adjustments are erronous in EEM.

 

EEM

Date Open High Low Close Adj Close Volume
4/14/2003 11.14444 11.22222 11.14444 100.999985 8.821162 93600

 

This is from the csv file that I have downloaded from the historical data tab.

25 REPLIES
Administratin' 'Hoo

Re: Historical Data Split and Dividend Adjustment Errors

Hi @buro,

 

Can you provide another source with the correct data? With more details, I'll be able to compare with our provider and bring it up to our engineers.

 

Thanks!

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If you see a response that answers your question, please Accept as Solution!
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Finance All-star

Re: Historical Data Split and Dividend Adjustment Errors


Oscar wrote:

Hi @buro,

 

Can you provide another source with the correct data? With more details, I'll be able to compare with our provider and bring it up to our engineers.


 

Hi @Oscar,

 

I can't speak for @buro but I believe he is trying to show that the closing prices for EEM have not been adjusted for the 2 splits since its inception.  The discrepancies become very clear when looking at the historical data from right before and right after the 3/1 splits in 2005 and 2008.  The closing prices between the 2 splits are 3 times higher than they should be and the closing prices before the first split in 2005 are 9 times higher.  

 

I can't include links to the Google Finance historical prices since they are outside of Yahoo and therefore restricted.  However, GF closing prices are more plausible than the YF prices although not necessarily more accurate.

 

EEM split dates

 

Yahoo July 2008 EEM price data

Yahoo June 2005 EEM price data

 

Can I include a link in a question or a reply?

 

Established 'Hoo

Re: Historical Data Split and Dividend Adjustment Errors

Hi @Oscar

 

I agree with @rayo . At the same time, if you let the engineers know that both, close and adjusted close, fall outside of the low and high range at the beginning of the price series, that is enough evidence to build a case that there is something wrong with the historical prices of this ETF. For a concrete example you can send them the prices that I mentioned above.

Pro 'Hoo

Re: Historical Data Split and Dividend Adjustment Errors

Adjustment is wrong for a lot of stocks (all with dividends?), not just EEM

 

AA

Date Open High Low Close Adj Close* Volume

Jan 03, 2007 72.21 72.23 70.10 29.33 60.36 3,402,400

 

AAPL

Jan 03, 2007 12.33 12.37 11.70 83.80 10.81 309,579,900

 

ABT

Jan 03, 2007 23.43 23.75 23.39 48.97 17.73 11,214,800

Established 'Hoo

Re: Historical Data Split and Dividend Adjustment Errors

Same with TUR

Date    Open    High    Low    Close    Adj Close    Volume
3/31/2008    45.990002    46.610001    45.700001    48.214397    37.707355    112300

 

Close and adjusted close both outside of the high-low range.

Finance All-star

Re: Historical Data Split and Dividend Adjustment Errors


buro wrote:

Hi @Oscar

 

At the same time, if you let the engineers know that both, close and adjusted close, fall outside of the low and high range at the beginning of the price series


 

Hi @buro,

 

What date range and ticker are you using for the above statement.  If its EEM and the 1 Year range then it will be expected that most dates prior to the most recent dividend payout on June 20, 2017, will cause the Adjusted Close to fall outside of the HL price range.  The more dividends that occur and the farther back in time you look the further outside the HL range the Adj. Close will go.

 

Also, @buro and @UncleGene, the tickers (TUR, AA, ABT and AAPL) you mentioned all have 1 or more splits in their history.  That will cause the Closing Price to be way outside the HL range for all dates prior to a split due to the way YF is currently not adjusting the actual closing prices for the split but are adjusting the OHL prices.  Until YF engineers decide a strategy and hopefully inform their users before implementing the fixes it will be difficult to determine what prices we are actually downloading (adjusted or unadjusted).  I believe Google Finance historical OHLC prices are always adjusted for splits but GF doesn't provide adjusted close prices.

 

Yahoo EEM price history 1Y

 

AAPL historical stock splits

Finance All-star

Re: Historical Data Split and Dividend Adjustment Errors

Hi @buro,

 

Trying to post a response but it keeps being booted to the My Unmoderated Items/My Rejected Items list with the below message.  Anyone had this happen before?  Have I been blocked?  Approved by who?  Very frustrating.

 

Your post will appear as soon as it is approved.

Administratin' 'Hoo

Re: Historical Data Split and Dividend Adjustment Errors

@rayo

 

That might be our filters. These are in place to prevent spam and fake support phone numbers. If you notice any trends, please let @Nixon or I know.

 

With regards to the historical data, this is being looked into.

 

Thanks!

If you see a helpful post, give that member a Kudo!
If you see a response that answers your question, please Accept as Solution!
Check out the "Known issues and updates" boards for the latest details.
Finance All-star

Re: Historical Data Split and Dividend Adjustment Errors


buro wrote:

 

close and adjusted close, fall outside of the low and high range at the beginning of the price series

Hi @buro,

 

What date range and ticker are you using for the above statement.  If its EEM and the 1 Year range then it will be expected that most dates prior to the most recent dividend payout on June 20, 2017, will cause the Adjusted Close to fall outside of the HL price range.  The more dividends that occur and the further back in time you look the further outside the HL range the Adj. Close will go.

 

Also, @buro and @UncleGene, the tickers (TUR, AA, ABT and AAPL) you mentioned all have 1 or more splits in their history.  That will cause the Closing Price to be way outside the HL range for all dates prior to a split due to the way YF is currently not adjusting the actual closing prices for the split but are adjusting the OHL prices.  Until YF engineers decide a strategy and hopefully inform their users before implementing the fixes it will be difficult to determine what prices we are actually downloading (adjusted or unadjusted).  I believe Google Finance historical OHLC prices are always adjusted for splits but GF doesn't provide adjusted close prices.

 

Yahoo EEM price history 1Y

AAPL historical stock splits