I am trying to download/calculate dividend adjusted historical prices. Going by the traditional method is not exactly working. I did download the adjusted prices and dividend rate. Although adjusting using the dividend rate is not resulting in right data. I am not sure whats going wrong here. Any guidance in the direction would be apreciated.
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The 11/26/19 close price of $77.859985 is already adjusted for $0.50 special bonus (also qualified as capital return event). You only need to further adjust $77.859985 for regular $0.15 dividend, which yields $77.859985 / (1 + $0.15 / $77.52) = $77.709618.
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@schavan
What exactly do you mean by "going by traditional methods not exactly working"? What are the "traditional methods" you tried to use, and what is not working for you? Can you give an example of "adjusting using the dividend rate is not resulting in right data"?
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Sorry for being so vague.
For example:
Ticker/RIC: WRB:
I download adjusted prices extract as follows(pulling a snap of the desired date)
Instrument ID Quote ID Trade Date Ticker Universal Close Price High Price Low Price Accumulated Volume Unscaled Security Description Official Close Price WRB 0x0003dc004a19fb77 11/20/18 WRB 77.740751 78.138198 77.263813 555,799 WR BERKLEY ORD WRB 0x0003dc004a19fb77 11/21/18 WRB 77.48241 78.376667 77.253877 400,120 WR BERKLEY ORD WRB 0x0003dc004a19fb77 11/23/18 WRB 77.144579 77.551963 76.896174 178,925 WR BERKLEY ORD WRB 0x0003dc004a19fb77 11/26/18 WRB 77.859985 77.999092 77.114771 435,537 WR BERKLEY ORD WRB 0x0003dc004a19fb77 11/27/18 WRB 77.52 78.24 77.21 433,486 WR BERKLEY ORD WRB 0x0003dc004a19fb77 11/28/18 WRB 78.65 78.68 77.09 519,144 WR BERKLEY ORD WRB 0x0003dc004a19fb77 11/29/18 WRB 78.45 78.89 78.16 341,177 WR BERKLEY ORD WRB 0x0003dc004a19fb77
11/30/18 WRB 78.78 79.42 78.28 1,890,274 WR BERKLEY ORD
Now on ex date 11/27/19 there were two dividends special and regular, 0.5 and 0.15 respectively.
If you calculate the adj factor 1 + (0.65/77.52[close as of 27th]) = 1.008384
and now if I use this factor to calculate the price, 77.859985/1.008384 = 77.2125 but the actual value is 77.70....(from existing calculations from the old system)
I am not sure whats wrong here.
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So if I had price adjusted for all the capital change events I would only need to use the regular dividend nothing else? Dividend Type Marker : 80, Dividend Type Marker Description : Regular.
I am thinking about this right?
I think so, but you may want to verify this logic, e.g. if there are any other Dividend Type Marker values you need to process. I suggest you reach out to Refinitiv Helpdesk, which you can contact by either calling the Helpdesk number in your country or by using MyRefinitiv, and ask for help from a content specialist to verify your logic. Moderators on this forum do not have deep expertise in every type of content available from Refinitiv to authoritatively answer content questions such as this one.
