Questions tagged [fundamentals]

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3 votes
1 answer
146 views

Help with pulling company fundamentals from EDGAR

I need help understanding why there are many different values for a specific metric reported by a company's 10-K or 10-Q in the EDGAR database. I've downloaded the entire US equity universe in JSON ...
0 votes
2 answers
393 views

Where to get historical price and fundamental data for global equities? [duplicate]

I'm looking for reliable research data on global equity fundamentals, but I'm not sure which vendor provides these (and preferably only these) features: Programmatic access of data. Coverage of ...
1 vote
1 answer
123 views

Extreme cases of Retained-Earnings to Total-Assets Ratio

Following are some companies with negative Retained Earnings to Total Assets Ratios. ...
1 vote
1 answer
549 views

Is alpha vantage api for fundamental data reliable?

Can anyone speak to the reliability of the Alpha Vantage (AV) api for fundamental stock data? I have tried for a couple of stocks to get balance sheet data, and it seems close to accurate but I feel ...
0 votes
1 answer
72 views

How do you identify top shareholders in SEC filings?

Schedule 13D is filed when a shareholder crosses 5% ownership and 13F is filed by fund managers to list their portfolio holdings. These are the only filings that I am currently aware of related to ...
0 votes
2 answers
206 views

Calculate outstanding diluted shares for fourth financial quarter of a company

How would one calculate the correct value of the outstanding diluted shares for the fourth (last) financial quarter of a company? When using the SEC 10-Q and 10-K forms: The 10-Q forms contain the ...
0 votes
0 answers
21 views

Diluted earnings per share not available in 10-Q report

I stumbled across the following 10-Q SEC report and wondered, why they would not report the diluted earnings per share: Source: Report: https://www.sec.gov/Archives/edgar/data/69422/...
0 votes
1 answer
99 views

Sources for historical financial ratios?

I wanted to know if there are any sources for historical financial ratios for Indian equities? If yes please share. Thank you.
0 votes
3 answers
120 views

database for economic & finance timeseries

I am looking for a technical solution to store economic and financial timeseries (nothing intraday for now, just daily/weekly/yearly) Most timeseries database I find do not seem to take into account ...
0 votes
2 answers
83 views

Where can I get fundamental data on US public stocks in original form?

I'm looking for fundamental data on US public companies. If anyone could recommend paid or free sources of the fundamentals in original, non-standardized form that would be great. I tried scraping the ...
0 votes
0 answers
112 views

I require help to find a good data source for my thesis

I require help to find a good data source for my master thesis. I am doing a regression analysis for macroeconomic indicators and valuation multiples, for eurozone stocks. I need quarterly information ...
0 votes
1 answer
66 views

Historical Fundamentals Data for Sectors

I am interested in a one-time download of GICS sector (e.g. XL- etfs) historical fundamentals data (in particular, point-in-time price/book ratios). Does anyone know where this can be found? I am ...
1 vote
1 answer
43 views

Search for historical balance sheet data

I would like to run backtests on swedish companies. How I can retrieve historical balance sheet data?
0 votes
0 answers
12 views

Source for Formulaic Screening of U.S. Corporate Issuers

I'm looking for a web app or API source that allows creating screens of U.S. listed companies based on formulas. For example, say, I want to screen for net debt-to-EBITDA. Since earnings before ...
0 votes
0 answers
11 views

I am searching for an API which provides sales & marketing data (quarterly basis)

I am searching for an API (free/low-cost) which provides sales & marketing data as a separate data point from Selling, General, and Administrative. Any information/feedback is welcome and ...
0 votes
0 answers
79 views

Correlation between fundamental and market data

I got hold of a data set which contains fundamental data like analyst recommendations/revisions (consensus only) and I am trying to come up with an idea of how this could be used as a trading signal ...
0 votes
0 answers
36 views

missing 10k from edgar?

Looking into EDGAR. For the below cik=51143 (IBM), any idea where they put the 10-K/annual report for reporting date 1995-12-31?? For ref: human-readable (select 10K, remove date, sort by filing date ...
2 votes
0 answers
43 views

Extract Qualitative information from annual report commentary and disclosure

Can anyone give idea on the value of latent information in annual report commentary and disclosure. It would be interesting to hear from analyst on how much time they spend reading through annual ...
4 votes
2 answers
276 views

Do high dividend yield stocks generally outperform the market?

The only paper I could find is the following: Dividend Yield Strategy in the British Stock Market 1994-2007 by Brzeszczynski et al. (2008) It states that a portfolio of stocks with high dividend ...
1 vote
1 answer
135 views

Stochastic (volatility) models with the elements of fundamental analysis - are there such models and why not?

I read about stochastic volatility models (e.g. https://en.wikipedia.org/wiki/Stochastic_volatility) and those models are quite simple, but the most important feature is that parameters are quite ...
1 vote
0 answers
29 views

From SEC Comprehensive Data Set to Clean Balance Sheets/Income Statements

I am looking for advice on how to smartly get from unstructured financial data to a clean summary of balance sheets. I think of this not as a coding problem but of a question how to approach the task -...
1 vote
1 answer
646 views

Bloomberg API / Excel Add In - Delisted Stocks

So I am using the Bloomberg Excel add in but can also use the API. My dilemma is I have a list of tickers containing SP500 historical constituents and I have retrieved 600 of them from an alternative ...
1 vote
2 answers
770 views

Free API for Credit Rating (Moody's, SP500 or Fitch Rating)

Is there any API out there that can get Credit Rating? Not just contries, but also for companies. I found this question on quant stack exchange. But it's not an easy API. definition: A credit rating ...
2 votes
1 answer
207 views

Building a fundamental equity scoring model based on data from Bloomberg

I have identified around 20 interesting statistics for a universe of stocks, regarding metrics of size, growth, valuation, quality, risk. Think market cap, free float, average daily volume. The ...
3 votes
4 answers
2k views

How to get Stock Fundamental time series data?

I need key Stock Fundamentals like in http://finance.yahoo.com/q/ks?s=KO+Key+Statistics But that page shows only the last quarter data, I need to analyze how that data has changed over past years. ...
8 votes
2 answers
5k views

Data exported from Capital IQ, FactSet, Bloomberg, Compustat

I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features: Unlimited data export Coverage of disbanded entities (bankruptcies, M&A) Financial ...
0 votes
1 answer
31 views

Looking for datasets with daily inflation rate for as many countries as possible

Here's an example of the kind of thing I'm looking for https://fred.stlouisfed.org/series/T10YIE I'm also happy to perform transformation on other data to get an estimated/approximated daily value if ...
1 vote
1 answer
80 views

Any database with all of companies previous CEO's?

I'm doing some research on CEO's and company chairmen and I'm looking for a database that contains this data for all the public US companies. The data needs dates associated with the names as well. I'...
-2 votes
2 answers
134 views

Why has the market gone up while earnings got pummeled? [closed]

Earnings are down 42% while the market is flat over march. Why are people assuming total economic collapse is great? Are they assuming iPhones will enter a massive growth spurt just because people are ...
0 votes
1 answer
179 views

How to quantify shares float on a stock?

I searched this before but never got further than generic definitions and and websites to look at. What I'm looking for is how to define a stock's shares float quantity. How does Yahoo Finance or ...
1 vote
1 answer
31 views

How to normalise companies relative to each other? Remove the effect of macro-economy?

I want to focus on companies-performance only and as much as possible remove the effect of macro-economy. Interest rate changes, crisis, inflation etc. There are 2 goals: Simplification of analysis ...
0 votes
0 answers
37 views

How can I find the payout ratio for this company?

I am doing this question that I couldn't find the payout ratio. For you, company equity beta is unknown, it has a target i.e. current debt to book equity ratio: 0.5 and target debt to market ...
0 votes
2 answers
144 views

Wha't the best place to grab historical sophisticated data about stocks?

I am looking for an API which allow me to grab a data about companies & their stocks in the historical perspective. Like not only prices, but let's say balance sheets & cashflow statements ...
0 votes
0 answers
41 views

Where to retrieve financial data? [duplicate]

I am struggeling finding an updated list of free sources for historical financial data. My main interest is for intraday european stock markets data and companies' fundamentals data, but it would be ...
3 votes
2 answers
8k views

Proof of Hamada's Formula (Relationship between levered and unlevered beta)

Hamada's formula is presented as follows: $$\beta_{U}=\left[\frac{1}{1+\frac{D}{E}(1-\tau)}\right]\beta_{L},$$ where $\beta_{U}$ and $\beta_{L}$ are the unlevered and levered betas of a firm ...
1 vote
1 answer
951 views

Anywhere to find historical float shares (or restricted shares) of US stocks?

I'm trying to collect the historical stock float data, but can't find it nowhere. We can easily find historical quarterly shares outstanding data in sec edgar, and we know that floating stock = ...
1 vote
1 answer
62 views

Why files in this SEC filing is not downloadable?

Quarterly report for MC Donalds has list of documents but there's no way to download it. It has only one text file available for the download. How the other documents could be downloaded, like the "...
1 vote
1 answer
164 views

Is the undiscounted value process of a Euro call option under Bachelier model a Martingale? [duplicate]

Assume that $c_t$ is the UNDISCOUNTED price process for a European call option in Bachelier model. In Bachelier model call option pricing formula the formulas is discussed. The undiscounted value ...
0 votes
3 answers
323 views

Combining Quantitative data with fundamental data

These day, there is relatively new phenomena of combining quantitative data and fundamental data called 'Quantamentals'. In this regards, I was wondering how to combine Four Essential Types of ...
0 votes
1 answer
214 views

Keep Saved IB Historical Data Accurately Adjusted

How have you dealt with adjusting saved historical data, specifically using the IB API? As far as I can tell, currently, I need to perform the calculations described on Quandl's blog. I haven't ...
2 votes
2 answers
2k views

Automated Import of 10-Q and 10-K Statements in XBRL Format from SEC.gov

I want to read financial statements in XBRL Format from the SEC site automatically. For instance the 10-Q File from Apple: http://www.sec.gov/Archives/edgar/data/320193/000119312515259935/aapl-...
1 vote
1 answer
102 views

selecting key performance indicators for a stock

Say, I read a financial statement of a company, and it reports, maybe 20-30 metrics, both generic, like revenue, free cash flow and specific to the company, like iphone sales etc. Is there a ...
1 vote
1 answer
197 views

Crowding in factor investing; Solid metrics

I know this is a bit of a golden goose question as if someone had cracked it they'd be laughing. I'm wondering though, if anyone can point me in the right direction for any hard measures of crowding ...
2 votes
0 answers
70 views

Looking for: List of 30 top-performing value investors in the US (AUM 100USD mn+; 10 years)

we are currently looking to build another database sourced by crawling the SEC (freely available at SimFin). Our goal is to build a monthly updating database showing the holdings of the top value-...
2 votes
2 answers
184 views

The two fundamental theorems of Finance, as they relate to the martingale measure

I RECENTLY read this in an article by Battig and Jarrow, "the first fundamental theorem relates the notion of no arbitrage to the existence of an equivalent martingale measure, while the second ...
0 votes
1 answer
86 views

How to calculate Chande Momentum Oscillator for FX

I am trying to calculate a momentum oscillator for the EUR/USD pair and am confused. A formula I read referenced the sum of previous up days. What is a "day" considered in Forex?
1 vote
1 answer
162 views

Where to Find Historical Earning Event (Quarterly Figures Dissemination) Dates?

I am looking for a data source / database that holds historical (10 years, better 20 years) dates of US and European stocks: I need the historical date when the quarterly (or annual) fundamental data ...
-1 votes
1 answer
1k views

Where to find historical fundamental data of S&P constituents in Thomson Reuters database?

I need data such as Net Income, ROA, ROE, etc. for companies in S&P 500 Index. I would like to see the values also for other years, e.g., since 2010. However, when I log-in to Thomson Reuters ...
1 vote
1 answer
74 views

What information is significant in a company's 10Q?

From a quantitative point of view which information is significant, what can be ignored?
2 votes
1 answer
1k views

Getting international fundamental stock market data

I am thinking of building some custom stock screening tool. For this I need fundamental data (parts of balance sheet, earnings statements, cash flow statement if available, probably some minimal ...