James:

MarketCap is spot data from public domain; no way to have historicals compared to the price series. However, comparison between google and yahoo for ATML is the same result for market cap. Actually it is hard to tell the quality regarding market cap, even some commercial data sources oftentime don't agree with each other, and sometimes the difference is non trivial. So I just live with it. A bit improvement could be that if you have access to different sources regarding MarketCap, take average or median on market cap (based on either outstanding or floating, but don't mix).

Another look on the historical data quality is from trading volumn. One can see the differences between yahoo and google. 

The further extension on MarketCap is the spinoff. We have no way directly from the available public domains to capture spinoff (opposed to dividend/split). although spinoff is a rare corp event, yet it has far major impact on stock metrics including MarketCap.

Erin:

Thanks for answering my email. The problem I identified in my post is independent of which R package one uses. If underlying data source is from Yahoo/Finance, one will inherit the quality problem because its root lies in yahoo/Finance, not in R packages/functions. The missing data example I gave below is obvious no matter which package you run, unless Yahoo fixes it or one goes to a quality (paid) data service. (By the way, I do use get.hist.quote).

Thanks


--- On Fri, 4/10/09, Hodgess, Erin <HodgessE@uhd.edu> wrote:

From: Hodgess, Erin <HodgessE@uhd.edu>
Subject: Re: [R-SIG-Finance] yahoo historical data quality
To: "James Toll" <james@jtoll.com>, r-sig-finance@stat.math.ethz.ch
Date: Friday, April 10, 2009, 2:37 PM


-----Inline Attachment Follows-----

If all else fails, check out get.hist.quote from the library(tseries) package.
 
thanks,
Erin
 
 
Erin M. Hodgess, PhD
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgesse@uhd.edu
 

________________________________

From: r-sig-finance-bounces@stat.math.ethz.ch on behalf of James Toll
Sent: Fri 4/10/2009 1:32 PM
To: r-sig-finance@stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] yahoo historical data quality



Andy et al.,

I have a question that's really an extension/amalgam of your question 
regarding the quality of Yahoo historical data with regard to the 
market capitalization data you were inquiring about last week 
(Specifically, I'm interested in outstanding and floated shares).  
Given that it's free data, one can't be overly critical, but have you 
found Yahoo's market cap data to be both accurate and timely?  I don't 
have a reference to compare the data to, so I'm unsure.

Thanks,

James



On Apr 10, 2009, at 10:10 AM, Andy Zhu wrote:

> Hi,
>
> Encountered problem with historical price, missing data from yahoo/
> finance. Here is an example: ticker = 'ATML', dates = 
> c('2000-08-28', '2000-08-29') (Mon and Tue). Yahoo doesn't show data 
> for these two dates so Quantmod simply doesn't pick them up with 
> Yahoo. However, when I check with Google/finance, it does show up 
> data for these 2 dates. How do you guys handle these missing data in 
> a systematical way? do you have any information of how to 
> communicate with Yahoo person?
>
> Thanks.

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