Data Quality Risks in Yahoo Finance Adjusted Close History

# Any known bugs with Yahoo Finance adjusted close data ?


# Any known bugs with Yahoo Finance adjusted close data ?












Yahoo Finance allows you to download tables of their daily historical stock price data.

The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a first step to other kinds of analyses.

To calculate the adj. close you need to know all the splits and dividends, and ex-div and ex-split dates. If someone gets this wrong it should create some anomalous returns on the false vs. true ex dates.

Has anyone seen any major problems in the adj. closing price data on Yahoo Finance?

## Answer by user508 (score 24, accepted)

https://quant.stackexchange.com/a/1087

Yahoo rounds the adjusted price to 2 decimals even though dividend amounts often have 3 decimal places. Since they apply the adjustment formula to adjusted prices, if you go far enough back in time, the value they give for Adjusted Price will be different than it would be if there were no rounding.

edit: For example, for C (Citigroup), on January 2, 1990, Yahoo gives a close value of 29.37 and an Adjusted value of 1.50. Using the dividend data that Yahoo supplies, if they didn't round to cents on every adjustment, the adjusted value would be 1.677.

## Answer by Erwin Mayer (score 18)

https://quant.stackexchange.com/a/1639

Do not passively use Yahoo where you need reliable historical data; it will just fail at one point (from what I have seen due to corporate actions/dividends not properly implemented). Paying for a single alternative data source will not save you either (Bloomberg sometimes reports crazy intraday prices); the only way is to write some data cleaning routines (that will warn you if something strange happens), and to compare what several different providers say.

Welcome to the prehistory!

## Answer by Paul Lynch (score 11)

https://quant.stackexchange.com/a/1430

Yahoo's historical data is sometimes missing dividends. For example: http://finance.yahoo.com/q/hp?s=VWINX&a=00&b=1&c=2010&d=11&e=20&f=2011&g=v (VWINX) is missing two dividends for 2011, though it has the ones for 2010.

Also, this paper: http://arxiv.org/PS_cache/arxiv/pdf/1105/1105.2956v1.pdf from 2010 reports Yahoo finance as missing a dividend in the 2007 data.

## Answer by babelproofreader (score 7)

https://quant.stackexchange.com/a/945

I read your question as you planning to calculate the daily log return as

\begin{equation} \log{\frac{adj.close(t)}{adj.close(t-1)}} \end{equation}

which I think might be problematic as the adjusted close does not necessarily represent a "price" that would have been traded at in the past. I think it would be better if you used the adjusted close to derive the actual close value and calculate returns thus:

\begin{equation} \log{\frac{derived.actual.close(t)}{derived.actual.close(t-1)}} \end{equation}

## Answer by Ram Ahluwalia (score 7)

https://quant.stackexchange.com/a/1040

Yahoo data is not as clean as alternative data providers such as CSI. Some issues are: i) data for some tickers is missing, ii) incorrect data (rare but it does happen), iii) sometimes they fail to merge the price histories of firms that undergoe corporate actions (i.e. merger, acquisition, or changes in corporate headquarters).

## Answer by Gabriel Vonlanten C. Lopes (score 7)

https://quant.stackexchange.com/a/9780

There is a major bug when you are getting information from exchanges outside USA. If you get the adjusted prices for BOVESPA (Brazilian Stock Exchange) for example, it will only consider the events that happened using the US Calendar and not the Brazilian calendar of working days, this leads to a lack of information on other exchanges.

Be aware of this if you are retrieving information for other exchanges.

## Answer by silencer (score 4)

https://quant.stackexchange.com/a/9764

Yahoo data is good enough, but it has its quirks. As people have mentioned, sometimes it does miss out on corporate actions.

I remember a while back I was looking at price for Ford (F) around 1999 , and computing my own adjusted close using yahoo's methodology and noticed that yahoo was missing a dividend payment in 1999(which I verified from bloomberg). Interestingly enough, yahoo had incoporated that missing data point in their adjusted price calculation.

Point being, its not perfect but its good enough ( in 99% of the cases). It might be a good idea to purchase EOD data so you can atleast get them to fix any issues with it.

## Answer by Matthew Lock (score 3)

https://quant.stackexchange.com/a/10005

Yahoo Historical Prices will seem fine for a while, and then you'll discover missing dates, or that it stops getting updated for a week or so.

## Answer by Steven Greenberg (score 3)

https://quant.stackexchange.com/a/15245

Errors in some data can cause the calculation to go awry. For EPD, I have reported that they believe the stock had a 2:1 split on August 21, 2014 and on August 22, 2014. Only one of these splits occurred, so all the split adjusted data is off by a factor of 2 before the split that did not happen. I reported this error in August, but in November I noticed the error is still there. This error really screws up my own software that depends on the data.

## Answer by Jien Weng (score 0)

https://quant.stackexchange.com/a/85471

Yahoo Finance's data is good for prototyping, but it lacks of information, and without external data sources, they often missed out market the wen unlisted, therefore you might encounter survivorship bias in you backtesting and eventually result in a bad model.

Try not to only rely on the adjusted price there only, get multiple sources such as bloomberg, morningstar, SA etc. Hope it helps although not directly answer your concern.