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Fundamentals Date Issue
Fang Zhou
posted Jan 6, 2019

I've noticed that some of the earnings reporting dates don't look correct in the fact_set fundamentals data. Specifically,

starting_date = '2016-01-01'  
ending_date = '2018-1-4'

eps_rpt_date_qf = Fundamentals.eps_rpt_date_qf.latest  
returns_1day = Returns(window_length=2)

pipe= Pipeline(columns={'eps_rpt_date_qf' : eps_rpt_date_qf,  
                        'returns_1day': returns_1day},  
               screen = (eps_rpt_date_qf.notnull()))

result = qr.run_pipeline(pipe, starting_date, ending_date)

ticker = 'AZZ'  
single_symbol = symbols(ticker, symbol_reference_date = starting_date)  
single_name = result.loc[(slice(None), slice(single_symbol,single_symbol)), :]

Taking a look at the ticker 'AZZ', the eps_rpt_date_qf date is showing 01/08/2017 while the Nasdaq SEC filing page shows 01/06/2017. The dates may be off slightly, but when investigating earnings surprise effects, this impact is quite significant.

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