VirginCFA, this note is especially for you, since I know you are an AAII/SIP fan, but anyone else who knows or is interested is welcome to comment too. I have figured out how to get the last 8 quarters of quarterly eanings data and the last 7 years of annual earnings data (thanks to vCFAh’s advice in an earlier thread), and I am trying to mix it with historical daily price data to get a trailing PE as far back as I can get it so that I can backtest a quantitative model with a growth factor in it. The challenge I have now is that I don’t know what the date of the past earnings announcements are, and can’t seem to find it anywhere. Does anyone know if/how one can find these dates (without looking up 8000 individual companies to find out their announcement dates). Within the Stock Investor Pro program is best, but even using another inexpensive/free database would be helpful. I can estimate an announcement date by just assuming the announcement is at the beginning of specific calendar days for Q1 Q2, etc., for all companies, but then my backtest will have dirty data between the “assumed” announcement date and the actual one. Any suggestions? I will eventually want to be doing this with dividend dates too. TIA
I think you’re out of luck. I don’t think it captures the actual “release date” of earnings. Since your model is a sort of a fundamental type model why don’t you just use some sort of average share price for a time period following the quarter?
I may do that. It’s not ideal, but just for practice, I’ll try that.