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Sources for Historical US Equity Fundamentals and Their Tradeoffs

Article Quant Q&A · Author: Doug
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Summary

The document compares suggested sources for historical US company financial statements, focusing on income statements and balance sheets and concerns about restatements or revisions. One response points to SEC filings as the source to consult when accuracy is the priority, while noting that using other vendors may involve inaccuracies. Another identifies S&P Compustat as a standard dataset in academic research. A further response names Bloomberg and FactSet as consistent commercial providers, while noting their cost.

The discussion does not present a systematic accuracy study or quantify differences between vendors. Its suggestions are qualitative and come from brief answers, so the document does not establish a definitive ranking. It also mentions a free dataset built from SEC data, but the availability and coverage described are limited to the information in the text. Researchers should consider whether they need original filings, standardized historical statements, broad coverage, or convenient bulk access when choosing a source.

Key ideas

  • SEC filings are suggested as a primary source when accuracy is the main concern.
  • S&P Compustat is described as a standard dataset for many academic studies.
  • Bloomberg and FactSet are presented as consistent commercial options, with cost as a consideration.
  • The recommendations are qualitative and are not supported by a comparative accuracy study.
  • A dataset based on SEC filings is mentioned, but its stated coverage is limited.

Tags

EquitiesUS marketsFactor investingStatistics
Full text
# Where can I find the most reliable historical fundamental data for US Equities


# Where can I find the most reliable historical fundamental data for US Equities












I've looked at several sources including Bloomberg, Zacks and Cap IQ. Many times, they don't update their data with the revisions. I'm looking for Income Statement and Balance Sheet data going back to 1994. Who has the best data?

## Answer by d0rmLife (score 1)

https://quant.stackexchange.com/a/21205

If you really want accuracy, the answer is the SEC.

Otherwise, you'll have to expect some inaccuracies. Bloomberg I would probably rank highest of the ones listed, but this is more qualitative than quantitative, as I know of no studies that suggest it to be most accurate.

## Answer by nbbo2 (score 1)

https://quant.stackexchange.com/a/22722

S&P Compustat is the standard for most academic research.

## Answer by MRC89 (score 1)

https://quant.stackexchange.com/a/32286

I believe, that Bloomberg and Factset provide the most consistent data set out there. However, their solutions are quite pricey (unless you already have access). A friend of mine is working on a similar solution, which is offered for free. Check it out under www.simfin.com

Update 30.07.17: So he has just updated the site and now standardized company statements for over 2000 US equities and financial ratios are available (all based on SEC data with free download). If you are looking for a bulk data download feel free to reach out to him.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.