Factor to Adjust Price in Period

Category: Dividends

Data Type: Floating Point

Description

Factor from a base date used to adjust prices after distributions so that equivalent comparisons can be made between prices before and after the distribution.

Extended Information

Factor to Adjust Price equals Factor to Adjust Shares Outstanding for most distribution events. There are three types of distributions where this is the case:

1. For ordinary cash dividends or partial liquidating payments, Factor to Adjust Price is set to zero.

2. For cases of mergers, total liquidations, or exchanges where all shares were exchanged, a final liquidation payment was announced, or the security disappeared, Factor to Adjust Price is set to negative one by convention.

3. For stock dividends and splits, Factor to Adjust Price is the number of additional shares per old share issued:

   facpr = (s(t) - s(t'))/s(t') = (s(t)/s(t')) - 1

   where s(t) is the number of shares outstanding, t is a date after or on the Ex-Distribution Date for the split, and t' is a date before the split. In a reverse split, Factor To Adjust Price will be between -1 and 0.

4. In other less common distribution events, spin-offs, non-total or non-final liquidating distributions, and rights, Factor to Adjust Price is not equal to Factor to Adjust Shares Outstanding. Factor to Adjust Price is defined as the Dividend Cash Amount divided by the stock price on the Ex-Distribution Date, (P(t)):

   facpr = DIVAMT/P(t)

   If there is no available price on the Ex-Distribution Date, and there is a price within ten periods after (P(t)), CRSP substitutes that price for (P(t)).

   Note that P(t) is the price on the Ex-Distribution Date. Therefore, unless it happens to be a month-end, the price is not available in our monthly file.

5. Other cases where Factor to Adjust Price may not be equal to factor to adjust shares are issuances and limited tender offers. For issuances, Factor to Adjust Price is set to zero. For limited tender offers where a limited set percentage of shares are accepted in exchange for cash, Factor to Adjust Price is set to the ratio of shares accepted multiplied by -1.

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