Returns Without Dividends

Category: Returns

Data Type: Floating Point

Description

Daily — Day-to-day capital appreciation of a security, calculated as a change in price, or bid/ask average if prices not available.

Monthly — Month-end to month-end capital appreciation of a security, calculate as a change in price only.

While ordinary and certain other regular taxable dividends are excluded from the returns calculation, non-ordinary distributions are included.

A series of special return codes specify the reason a return is missing:

Code	Reason For Missing Return
-66.0	Valid current price but no valid previous price. Either first price, unknown exchange between current and previous price, or more than 10 periods between time t and the time of the preceding price t'.
-77.0	Not trading on the current exchange at time t.
-88.0	Outside the security's price range.
-99.0	Missing return due to missing price at time t; usually due to suspension in trading or trading on unknown exchange.

Daily	Monthly
1925	1925

Database Formats	Product Types
CRSPAccess	STK