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Are there any free/cheap sources for historical data on company earnings and valuations? I can get historical price data from Google and Yahoo, and it looks like I can get about five years of historical balance sheet data from Google using quantmod in R. Are there any longer-term sources of for these kind of data?

Bonus points for R packages or code examples.

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up vote 4 down vote accepted

If you don't mind parsing some html, AdvFN has fundamental data on US companies as far back as 1994.

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You can get historical SEC filing from EDGAR. You get bonus points if you write an R package to pull info from the database (assuming you can). ;-)

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I suspect practically, unless you have an army of analysts you will not be able to use Edgar systematically ? – BlueTrin Apr 9 '13 at 10:19
@BlueTrin - All of the recent EDGAR material is available in XML. I did a search for Microsoft, here is the top result as an example: sec.gov/Archives/edgar/data/1193103/000120919114000981/doc4.xml. Since the data is available in a computer readable format, it should be usable systematically (generally speaking). – Peter Jan 15 '14 at 17:39

Take a look at http://www.mergent.com/servius - it should have many years of historical earnings data

(Disclosure: The API is managed by my company)

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wallstreethorizon.com has historical EPS and lots of historical earnings and dividend date files. They track both the pre-announcements and the actual earnings announcements. Excellent for backtesting earnings announcement signals. They don't do valuations.

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This looks interesting. Do you have any affiliation with them? I notice you've listed their associate service in another answer. – chrisaycock Oct 2 '13 at 13:12

ycharts is a reliable source for historical eps and other balance sheet stats (i.e. a/r, capex) but data beyond five years back requires a subscription.

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