Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Publishing Date of Financial Statements (US Stocks)
H. Consuli
posted
API Seeking Help Fetcher Using Data

I need the publishing date of financial statements, which is different from the reporting as of date like 2014-12-31, 2015-03-31, etc. I want to run a predictive statistical model on accounting data. So I have to join the fundamental accounting data with the price data by the publishing date. Otherwise I will produce an error of future input data, which is not available at the time of the price.

An interface data connection to R for importing the date would be nice to have. However I would prefer webscraping from HTML to a paid service like Bloomberg.

Consuli

2 responses
Sally Sanford

I have not looked at the Q/Morningstar implementation of fundamental data, so my apologies if this is already covered.

========EDIT===========

I did look just now, the field you might find useful is:

fundamentals.financial_statement_filing.file_date

Still does not handle earnings/sales pre-release announcements or guidance.
====END EDIT=========

Generally, financial statements are announced via a press release within 6 weeks after the quarter-end reporting period. For example, see Google's press releases here. Adding six weeks to the reporting date is a first approximation to addressing look-ahead bias in financial statement analysis. However, market moving changes in financial statements, such as earning and sales, are made well before the financial statements are released and guidance is often released before the end of the reporting period. Here is a recent example of earnings guidance and how it impacts a stock price.

A few take-aways. Using the reporting end date induces a look ahead bias in financial statements of upwards of 6 weeks. If your financial statement analysis consists of earnings and sales then you need to use a different data source besides the financial statements (starmine, estimize, etc.). When performing cash flow analysis, earning quality or balance sheet calculations then add six weeks to the reporting date to account for the delay in publishing the financial statements.

YMMV

H. Consuli

Thank you Sally. Your hints for handling the look ahead bias are really helpful.

I did look just now, the field you might find useful is:
fundamentals.financial_statement_filing.file_date

I have found the field on the webpages, too.
E.g. http://quicktake.morningstar.com/StockNet/SECDocuments.aspx?Symbol=IBM&Country=usa&GDLTab=Financials
Filtering for formtype 10-Q/ 10-K should do the job.

However, if someone knows a free and condensed list of publishing/ post dates ...

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.