Yahoo Finance如何计算调整后的收盘价? [英] How does Yahoo Finance calculate Adjusted Close stock prices?

问题描述

以下是Yahoo Finance显然计算调整后的收盘股价的方法:

Here's how Yahoo Finance apparently calculates Adjusted Close stock prices:

https://help.yahoo.com/kb/adjusted-close-sln28256.html

据此，我了解到对未调整价格应用了一个恒定因子，并且该因子随每次股息或拆分事件而发生变化，这种情况应该不太经常发生.而且我应该能够通过将未调整的价格除以调整后的价格来推断出这个因素.

From this, I understand that a constant factor is applied to the unadjusted price and that said factor changes with each dividend or split event, which should happen not too often. And that I should be able to infer that factor by dividing the unadjusted by the adjusted price.

但是，如果我使用AAPL数据(使用Python)对此进行了验证，则会产生令人困惑的结果:

However, if I verify this with AAPL data (using Python), I get confusing results:

import yfinance 
df =  yfinance.download("AAPL", start="2010-01-01", end="2019-12-31")
df["Factor"] = df["Close"] / df["Adj Close"]
print(df["Factor"].nunique(), df["Factor"].count())

哪个产生: 2442 2516

因此，在大多数情况下，因素是不同的.但是AAPL通常每年有4次派息事件，并且在此期间进行了股票分拆，所以我预计大约会有40种不同的因素，而不是2442.

So the factor is different in by far most of the cases. But AAPL usually has 4 dividend events per year and had a stock split during that period, so I would expect roughly 40 different factors rather than 2442.

Yahoo Finance在上面的链接下提供的公式是否过于简化?或者我在这里缺少什么?

Is the formula Yahoo Finance provides under the link above overly simplified or am I missing something here?

推荐答案

问题是Yahoo Finance无法同时提供原始价格和调整后的价格供您使用.如果您查看示例历史价格页面(例如，MSFT)的脚注，则会看到一个文字，其中显示收盘价已针对拆股进行了调整；调整后的收盘价针对股息和股利进行了调整."

The problem is that Yahoo Finance doesn't provide BOTH raw and adjusted prices for you to work with. If you check the footnote of a sample historical price page (e.g., MSFT), you will see a text that says "Close price adjusted for splits; Adjusted close price adjusted for both dividends and splits."

为了得出干净的调整比率，既需要原始(未调整)价格，也需要调整价格.然后，您可以应用诸如CRSP的调整方法来得出正确的值.总而言之，您没有做错任何事！这是Yahoo输出的固有限制.

In order to derive clean adjusted ratios, both raw (unadjusted) and adjusted prices are needed. Then you can apply an adjustment method such as CRSP to derive the correct values. In summary, you didn't do anything wrong! It's the intrinsic limitation of Yahoo's output.

参考:[1] https://medium.com/@patrick.collins_58673/stock-api-landscape-5c6e054ee631 [2] http://www.crsp.org/products/documentation/crsp-calculations

References: [1] https://medium.com/@patrick.collins_58673/stock-api-landscape-5c6e054ee631 [2] http://www.crsp.org/products/documentation/crsp-calculations

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