Footnote:
In: Advances in Financial Education, Volume 17 (Summer), 2019, 192-205
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 10, 2018 erstellt
Description:
Accurately calculated historical returns are critical inputs for investment decisions. We document that data vendors' adjustments to historical prices for dividends and stock splits result in inaccurate estimations of historical returns. We demonstrate several techniques that can be used to correct the error and estimate the true returns. Our findings pose a challenge for the finance literature that derives conclusions based on the historical returns naively calculated using the adjusted closing prices provided by the data vendors