Historical Fundamental Data

Hey guys wheres a good place to get historical fundamental data? Like PE or E in PE, shares outstanding, etc?

 

The CompuStat database on WRDS. But there could be cheaper alternatives.

 

Basic information http://finviz.com/

look under screener and the various tabs

 

Finviz wont get it done for me. i need for example the PE ratio or the shares outstanding for 2009.

 

Never used it, but I remember the name from a few years back.
http://www.zacks.com/

No idea how efficient it is.

Other than that no idea, not a fundamental trader

Good luck

 

The price of free would also be a plus if anyone already has it on their hard drive in SQL.

 

QuantQuote has it, not for free though. But unlike compustat/wrds, etc, they'll sell it to individuals without a long term contract/subscription.

 

Trying to use historical fundamental data is like opening a can of worms.

Here's a few concerns on historical fundamentals:

1. Make sure you use figures that are historically consistent (eg there are several different ways of calculating EPS
2. Accounting standards change over time (eg. stock options)
3. What happens when there is a change in the fiscal year boundaries
4. What happens when accounts are re-stated, often years later?
5. How do you handle major events like large special dividends?
6. How do you handle major events like mergers?
7. How do you handle major events like demergers of a small portion of the company?
8. How do you handle major events like demergers of a large portion of the company?
9. How do you handle stock dividends?
10. How do you handle stock splits?
11. How do you handle dividends when they are actually paid out in the following fiscal year? Which year are they allocated to?
12. How do you handle dividends is declared but sometimes delayed up to a year later?
13. For foreign domiciled companies that report in a different currency, what exchange rate do you use? The exchange rate on the close of the quarter/year, the exchange rate when it was declared, a floating (ie today's) exchange rate?
14. For companies with multiple classes of shares, are these accurately included/calculated in the "per share" figures?

Note: I have _never_ found a fundamental provider that handles all of the above correctly.

 

The way to get around it is to get the raw data (no split/dividend adjustment). Data providers are unlikely to screw up the raw data. Then, perform the adjustments yourself if necessary.

 

So are you going to try and figure out all of the above issues yourself?

It's easy for a handful of stocks... but crazy difficult for a universe such as S&P 500.. and forget trying to get delisted stocks.