Adjusting Historical High and Low Prices for Corporate Actions

Summary

The document gives a simple way to adjust historical high and low prices when a data source provides adjusted closes. Compute an adjustment factor by dividing the adjusted closing price by the unadjusted closing price for the same date, then multiply the unadjusted high and low by that factor. This applies the close’s adjustment proportionally to the day’s price range.

The answer points to Yahoo Finance’s description of its adjustment approach and notes that it follows the CRSP method for prices, dividends, and volumes. Those references provide context for the adjustment convention, but the document does not explain the underlying corporate-action calculations or compare alternative vendor methodologies. Users should therefore ensure the adjusted close and the unadjusted high and low come from matching dates and data conventions before applying the factor.

Key ideas

• Calculate the adjustment factor as adjusted close divided by unadjusted close for the same date.
• Multiply the unadjusted high and low by that factor to adjust them consistently with the close.
• Price adjustment conventions may follow a vendor’s methodology for splits, dividends, and volumes.
• The document does not detail the calculations behind the cited convention or compare data providers.

Tags

# How to adjust historical data highs/lows for splits and dividends?


# How to adjust historical data highs/lows for splits and dividends?












When I download historical data from yahoo finance, only the closing price is adjusted for dividends/splits.

Is there a way of figuring out the factor by which lets say the highs/lows have to be multiplied in order to adjust them for splits/dividends?

## Answer by WaltS (score 1)

https://quant.stackexchange.com/a/16884

Yahoo finance describes their method at https://help.yahoo.com/kb/finance/SLN2311.html?impressions=true and indicate that this follows the CRSP method for adjusting prices, dividends, and volumes. The CRSP calculations are described in detail at http://www.crsp.com/products/documentation/crsp-calculations .

## Answer by onlyvix.blogspot.com (score 0)

https://quant.stackexchange.com/a/16872

Yes.

factor = adjusted closing price / (unadjusted) closing price

Adjusted high = high * factor

Adjusted low = low * factor

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.