When the price series lies
A corporate action is an event that changes a company's securities without any trading profit or loss: cash dividends, stock splits and reverse splits, spin-offs, mergers, ticker changes and delistings. They matter to data because the raw price series jumps even though no investor gained or lost anything.
A cash dividend has four dates: the declaration, the ex-dividend date, the record date and the payment date. You receive the dividend only if you buy before the ex-dividend date. Since US stocks moved to T+1 settlement in May 2024, the ex-dividend date and the record date fall on the same day, and on that day the price typically opens lower by about the dividend.
A stock split changes the number of shares and the price in opposite directions: in a 4-for-1 split each share becomes four and the price is divided by four, leaving the company's value unchanged. A reverse split does the opposite. To make a price history comparable, data providers adjust old prices (and volumes) for splits and dividends. The QuantCraft price files are adjusted this way: there is no raw close, and the data holds only stocks that still exist, so companies that were delisted are missing.
- Ex-dividend date: buy on or after it and you do not get the dividend.
- Split: shares and price change in opposite directions, value unchanged.
- Adjusted price: history rescaled so splits and dividends do not look like returns.
- Survivorship: delisted companies are missing, so past results look better than reality.
Lab · what's graded
- Actions and effects20 pts
- Dividend timeline15 pts
- Adjusting for a split15 pts
- Adjusting for a dividend15 pts
- A −75% day10 pts
- Calendar facts10 pts
- Adjusted prices and survivorship15 pts