I wanted to get historical prices so that I can calculate returns each year where can I get it? Should we price in the dividends and stock splits in the stock prices while calculating returns? If yes how? if not then how will we get correct return values for any security?
Generally charts are adjusted for stock splits but not for normal dividend ( a dividend which is not extraordinary or special is normal, extraordinary or special dividend is one which is greater than 5% of current market price). You can get dividend history from exchange sites, but let me see if any other direct source is there to calculate returns including dividends.
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My aim is to calculate returns, beta, unsystematic risk for all the scrips that are actively traded on BSE and NSE. I just wanted to apply Sharpe optimization model as part of the project. Having issues finding data.
You can approach any data vendor if they have prices adjusted for normal dividends and calculate beta, returns or any other data point by your self. But I think dividend can be ignored as they won’t form much part for most of the stocks, ideally dividends are given by matured stocks or by psu counters. If you want normal data which is adjusted for splits for last 12 years or so and but not for dividends you can use kite data itself.
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That will be very useful, if you could get returns including dividends.