[R-SIG-Finance] does quantmod::adjustOHLC adust for dividends?

[Ilya Kipnis]

That's a function of yahoo data no longer adjusting for dividends.

On Fri, Jun 2, 2017 at 10:45 AM, Vivek Rao via R-SIG-Finance <
r-sig-finance at r-project.org> wrote:

> (I tried sending this message before joining the group, but it was held
> for moderation.)
>
> It appears that the adjustOHLC function of the quantmod package does not
> create an .Adjusted field
> that reflects dividends.
>
> The code
>
> library("quantmod")
> sym <- "IBM"
> START.DATE = "2016-01-01"
> div <- getDividends(sym,auto.assign=FALSE,from=START.DATE)
> xx <- getSymbols(sym, from=START.DATE, src="yahoo", auto.assign=FALSE)
> xx.a <- adjustOHLC(xx)
> xx.uA <- adjustOHLC(xx, use.Adjusted=TRUE)
> cat("\ndiv\n")
> print(head(div))
> cat("\nxx\n")
> print(head(xx))
> cat("\nxx.a\n")
> print(head(xx.a))
> cat("\nxx.uA\n")
> print(head(xx.uA))
>
> produces the output below. I'd expect that IBM.Adjusted field to have
> different values
> at the beginning of the period, depending on whether one adjusts for
> dividends.
>
> div
> IBM.div
> 2016-02-08     1.3
> 2016-05-06     1.4
> 2016-08-08     1.4
> 2016-11-08     1.4
> 2017-02-08     1.4
> 2017-05-08     1.5
>
> xx
> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
> 2016-01-04   135.60   135.97  134.24    135.95    5229400       135.95
> 2016-01-05   136.76   136.89  134.85    135.85    3924800       135.85
> 2016-01-06   134.38   135.58  133.62    135.17    4310900       135.17
> 2016-01-07   133.70   135.02  132.43    132.86    7025800       132.86
> 2016-01-08   133.18   133.82  131.32    131.63    4762700       131.63
> 2016-01-11   131.81   133.82  131.76    133.23    4974400       133.23
>
> xx.a
> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
> 2016-01-04   135.60   135.97  134.24    135.95    5229400       135.95
> 2016-01-05   136.76   136.89  134.85    135.85    3924800       135.85
> 2016-01-06   134.38   135.58  133.62    135.17    4310900       135.17
> 2016-01-07   133.70   135.02  132.43    132.86    7025800       132.86
> 2016-01-08   133.18   133.82  131.32    131.63    4762700       131.63
> 2016-01-11   131.81   133.82  131.76    133.23    4974400       133.23
>
> xx.uA
> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
> 2016-01-04   135.60   135.97  134.24    135.95    5229400       135.95
> 2016-01-05   136.76   136.89  134.85    135.85    3924800       135.85
> 2016-01-06   134.38   135.58  133.62    135.17    4310900       135.17
> 2016-01-07   133.70   135.02  132.43    132.86    7025800       132.86
> 2016-01-08   133.18   133.82  131.32    131.63    4762700       131.63
> 2016-01-11   131.81   133.82  131.76    133.23    4974400       133.23
>
> Vivek Rao
>
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