Retrieving corporate event information for listed companies

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H-2
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Retrieving corporate event information for listed companies

H-2
I would appreciate thoughts on a question pertaining to corporate event information:

What would be the "best" source for automating retrieval of eg dividends, ex-dividend dates, earning dates going forward etc.?

Would it be finance.yahoo.com? Can it "easily" be retrieved from Edgar parsing XML files?

I am well aware the terms "best" and "easily" are in the eye of the beholder, thus different opinions are welcome.

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Re: Retrieving corporate event information for listed companies

Andrew Piskorski
On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
> I would appreciate thoughts on a question pertaining to corporate event information:
>
> What would be the "best" source for automating retrieval of eg dividends, ex-dividend dates, earning dates going forward etc.?

For company fundamental data, in years past I used the S&P Compustat
XpressFeed product, and was pretty happy with it.  It had all filings,
plus daily prices and other ancillary data, arranged in a sane SQL
schema, loadable into either Oracle or MS SQL Server (using their
Windows C# XpressFeed Loader app, later converted to Java).  It was
expensive, but if you're willing to pay, it's likely still a good
choice today.

Since we had Compustat, I never tried parsing data myself from Edgar
or wherever else.  But of course if all you really want are dates of
earnings announcements and dividends, it wouldn't make sense to pay
for a full-featured product Compustat.

--
Andrew Piskorski <[hidden email]>

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Re: Retrieving corporate event information for listed companies

Andre_Mikulec
H,

The software product AAII Stock Investor Pro has this information.

If one really wants the raw data (and not use the GUI), then one can get this information directly from the .dbf files on disk.  These .dbf (Foxpro) files can be opened and read-in using Libre Office Calc. 16 GBs of RAM, in my case, seems to be needed, to read the big .dbf files.  This memory requirement seems to be a challenge of Libre Office.

Alternately, and simply, the .dbf file data can be read in through the base R package foreign​, function read.dbf,​ into R data.frames, with only a small amount of computer memory.

The .dbf file reading code is by Frank Warmerdam in both cases: Calc and read.dbf.

The software, product AAII Stock Investor Pro is updated daily.  In the past, it was updated from weekly then from monthly.  It requires a yearly subscription.  The product is much much much less expensive than Compustat (but does not have as much), but may have just-as-much, as you need.

________________________________
From: R-SIG-Finance <[hidden email]> on behalf of Andrew Piskorski <[hidden email]>
Sent: Friday, April 2, 2021 5:14 AM
To: [hidden email] <[hidden email]>
Subject: Re: [R-SIG-Finance] Retrieving corporate event information for listed companies

On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
> I would appreciate thoughts on a question pertaining to corporate event information:
>
> What would be the "best" source for automating retrieval of eg dividends, ex-dividend dates, earning dates going forward etc.?

For company fundamental data, in years past I used the S&P Compustat
XpressFeed product, and was pretty happy with it.  It had all filings,
plus daily prices and other ancillary data, arranged in a sane SQL
schema, loadable into either Oracle or MS SQL Server (using their
Windows C# XpressFeed Loader app, later converted to Java).  It was
expensive, but if you're willing to pay, it's likely still a good
choice today.

Since we had Compustat, I never tried parsing data myself from Edgar
or wherever else.  But of course if all you really want are dates of
earnings announcements and dividends, it wouldn't make sense to pay
for a full-featured product Compustat.

--
Andrew Piskorski <[hidden email]>

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https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.

        [[alternative HTML version deleted]]

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Re: Retrieving corporate event information for listed companies

Henrique Ramos-2
I have not tested, but check the simfinR package.

https://msperlin.com/blog/post/2019-11-01-new-package-simfinr/

You will need to create your own API key at simfin.
Em sex., 2 de abr. de 2021 às 10:21, Andre Mikulec <
[hidden email]> escreveu:

> H,
>
> The software product AAII Stock Investor Pro has this information.
>
> If one really wants the raw data (and not use the GUI), then one can get
> this information directly from the .dbf files on disk.  These .dbf (Foxpro)
> files can be opened and read-in using Libre Office Calc. 16 GBs of RAM, in
> my case, seems to be needed, to read the big .dbf files.  This memory
> requirement seems to be a challenge of Libre Office.
>
> Alternately, and simply, the .dbf file data can be read in through the
> base R package foreign, function read.dbf, into R data.frames, with only a
> small amount of computer memory.
>
> The .dbf file reading code is by Frank Warmerdam in both cases: Calc and
> read.dbf.
>
> The software, product AAII Stock Investor Pro is updated daily.  In the
> past, it was updated from weekly then from monthly.  It requires a yearly
> subscription.  The product is much much much less expensive than Compustat
> (but does not have as much), but may have just-as-much, as you need.
>
> ________________________________
> From: R-SIG-Finance <[hidden email]> on behalf of
> Andrew Piskorski <[hidden email]>
> Sent: Friday, April 2, 2021 5:14 AM
> To: [hidden email] <[hidden email]>
> Subject: Re: [R-SIG-Finance] Retrieving corporate event information for
> listed companies
>
> On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
> > I would appreciate thoughts on a question pertaining to corporate event
> information:
> >
> > What would be the "best" source for automating retrieval of eg
> dividends, ex-dividend dates, earning dates going forward etc.?
>
> For company fundamental data, in years past I used the S&P Compustat
> XpressFeed product, and was pretty happy with it.  It had all filings,
> plus daily prices and other ancillary data, arranged in a sane SQL
> schema, loadable into either Oracle or MS SQL Server (using their
> Windows C# XpressFeed Loader app, later converted to Java).  It was
> expensive, but if you're willing to pay, it's likely still a good
> choice today.
>
> Since we had Compustat, I never tried parsing data myself from Edgar
> or wherever else.  But of course if all you really want are dates of
> earnings announcements and dividends, it wouldn't make sense to pay
> for a full-featured product Compustat.
>
> --
> Andrew Piskorski <[hidden email]>
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>


--
Henrique P. Ramos
Professor Adjunto A | Escola de Administração
Universidade Federal do Rio Grande do Sul
Rua Washington Luiz, 855 | 90010-460 | Porto Alegre RS | Brasil
Tel.: (51) 3308-3303 | www.ea.ufrgs.br

        [[alternative HTML version deleted]]

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H-2
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Re: Retrieving corporate event information for listed companies

H-2
In reply to this post by Andrew Piskorski
On 04/02/2021 06:14 AM, Andrew Piskorski wrote:

> On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
>> I would appreciate thoughts on a question pertaining to corporate event information:
>>
>> What would be the "best" source for automating retrieval of eg dividends, ex-dividend dates, earning dates going forward etc.?
> For company fundamental data, in years past I used the S&P Compustat
> XpressFeed product, and was pretty happy with it.  It had all filings,
> plus daily prices and other ancillary data, arranged in a sane SQL
> schema, loadable into either Oracle or MS SQL Server (using their
> Windows C# XpressFeed Loader app, later converted to Java).  It was
> expensive, but if you're willing to pay, it's likely still a good
> choice today.
>
> Since we had Compustat, I never tried parsing data myself from Edgar
> or wherever else.  But of course if all you really want are dates of
> earnings announcements and dividends, it wouldn't make sense to pay
> for a full-featured product Compustat.
>
I have taken a very first look at parsing EDGAR filings in XML format and XBRL but let's say I want to begin by finding out past and upcoming ex-dividend dates, dividends, split announcements and splits - I am not sure how I could "easily" retrieve those in an automated fashion. Next item of interest would be company announcements of other types of upcoming key events.

It is of course possible that the above items are announced in various press releases which would require reading those manually.

I do not know where eg Compustat gets its information but I am not looking for a commercial product. Yahoo lists some of these items such as ex-dividend dates, dividends, splits, not sure where they get the information.

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H-2
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Re: Retrieving corporate event information for listed companies

H-2
In reply to this post by Andre_Mikulec
On 04/02/2021 09:21 AM, Andre Mikulec wrote:

> H,
>
> The software product AAII Stock Investor Pro has this information.
>
> If one really wants the raw data (and not use the GUI), then one can get this information directly from the .dbf files on disk.  These .dbf (Foxpro) files can be opened and read-in using Libre Office Calc. 16 GBs of RAM, in my case, seems to be needed, to read the big .dbf files.  This memory requirement seems to be a challenge of Libre Office.
>
> Alternately, and simply, the .dbf file data can be read in through the base R package foreign​, function read.dbf,​ into R data.frames, with only a small amount of computer memory.
>
> The .dbf file reading code is by Frank Warmerdam in both cases: Calc and read.dbf.
>
> The software, product AAII Stock Investor Pro is updated daily.  In the past, it was updated from weekly then from monthly.  It requires a yearly subscription.  The product is much much much less expensive than Compustat (but does not have as much), but may have just-as-much, as you need.
>
> ________________________________
> From: R-SIG-Finance <[hidden email]> on behalf of Andrew Piskorski <[hidden email]>
> Sent: Friday, April 2, 2021 5:14 AM
> To: [hidden email] <[hidden email]>
> Subject: Re: [R-SIG-Finance] Retrieving corporate event information for listed companies
>
> On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
>> I would appreciate thoughts on a question pertaining to corporate event information:
>>
>> What would be the "best" source for automating retrieval of eg dividends, ex-dividend dates, earning dates going forward etc.?
> For company fundamental data, in years past I used the S&P Compustat
> XpressFeed product, and was pretty happy with it.  It had all filings,
> plus daily prices and other ancillary data, arranged in a sane SQL
> schema, loadable into either Oracle or MS SQL Server (using their
> Windows C# XpressFeed Loader app, later converted to Java).  It was
> expensive, but if you're willing to pay, it's likely still a good
> choice today.
>
> Since we had Compustat, I never tried parsing data myself from Edgar
> or wherever else.  But of course if all you really want are dates of
> earnings announcements and dividends, it wouldn't make sense to pay
> for a full-featured product Compustat.
>
> --
> Andrew Piskorski <[hidden email]>
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

Thank you, will keep that product in mind. My first choice would be to see if it is in EDGAR though.

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H-2
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Re: Retrieving corporate event information for listed companies

H-2
In reply to this post by H-2
On 04/02/2021 05:14 PM, H wrote:

> On 04/02/2021 06:14 AM, Andrew Piskorski wrote:
>> On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
>>> I would appreciate thoughts on a question pertaining to corporate event information:
>>>
>>> What would be the "best" source for automating retrieval of eg dividends, ex-dividend dates, earning dates going forward etc.?
>> For company fundamental data, in years past I used the S&P Compustat
>> XpressFeed product, and was pretty happy with it.  It had all filings,
>> plus daily prices and other ancillary data, arranged in a sane SQL
>> schema, loadable into either Oracle or MS SQL Server (using their
>> Windows C# XpressFeed Loader app, later converted to Java).  It was
>> expensive, but if you're willing to pay, it's likely still a good
>> choice today.
>>
>> Since we had Compustat, I never tried parsing data myself from Edgar
>> or wherever else.  But of course if all you really want are dates of
>> earnings announcements and dividends, it wouldn't make sense to pay
>> for a full-featured product Compustat.
>>
> I have taken a very first look at parsing EDGAR filings in XML format and XBRL but let's say I want to begin by finding out past and upcoming ex-dividend dates, dividends, split announcements and splits - I am not sure how I could "easily" retrieve those in an automated fashion. Next item of interest would be company announcements of other types of upcoming key events.
>
> It is of course possible that the above items are announced in various press releases which would require reading those manually.
>
> I do not know where eg Compustat gets its information but I am not looking for a commercial product. Yahoo lists some of these items such as ex-dividend dates, dividends, splits, not sure where they get the information.
>
OK, looks like the XBRL taxonomy includes various corporate actions such as eg stock splits, see https://www.accountingtoday.com/news/xbrl-us-provides-taxonomy-for-corporate-actions.

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Re: Retrieving corporate event information for listed companies

mark leeds
In reply to this post by H-2
Hi: I'm not absolutely certain if it has what you need but, if you are a
student, you might be able to get access to
crisp data for free.  It stands for center for research in security pricing
and has some connection to the university of chicago.
They sell ( or atleast used to )-provide lots of data on pricing and
corporate actions. I don't know the current status of it but it
might be worth looking into.






On Fri, Apr 2, 2021 at 5:15 PM H <[hidden email]> wrote:

> On 04/02/2021 06:14 AM, Andrew Piskorski wrote:
> > On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
> >> I would appreciate thoughts on a question pertaining to corporate event
> information:
> >>
> >> What would be the "best" source for automating retrieval of eg
> dividends, ex-dividend dates, earning dates going forward etc.?
> > For company fundamental data, in years past I used the S&P Compustat
> > XpressFeed product, and was pretty happy with it.  It had all filings,
> > plus daily prices and other ancillary data, arranged in a sane SQL
> > schema, loadable into either Oracle or MS SQL Server (using their
> > Windows C# XpressFeed Loader app, later converted to Java).  It was
> > expensive, but if you're willing to pay, it's likely still a good
> > choice today.
> >
> > Since we had Compustat, I never tried parsing data myself from Edgar
> > or wherever else.  But of course if all you really want are dates of
> > earnings announcements and dividends, it wouldn't make sense to pay
> > for a full-featured product Compustat.
> >
> I have taken a very first look at parsing EDGAR filings in XML format and
> XBRL but let's say I want to begin by finding out past and upcoming
> ex-dividend dates, dividends, split announcements and splits - I am not
> sure how I could "easily" retrieve those in an automated fashion. Next item
> of interest would be company announcements of other types of upcoming key
> events.
>
> It is of course possible that the above items are announced in various
> press releases which would require reading those manually.
>
> I do not know where eg Compustat gets its information but I am not looking
> for a commercial product. Yahoo lists some of these items such as
> ex-dividend dates, dividends, splits, not sure where they get the
> information.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

        [[alternative HTML version deleted]]

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Re: Retrieving corporate event information for listed companies

braverock
CRSP is still the gold standard in daily data, including corporate
actions and most fundamentals (with the paired Compustat database).  It
is typically accessed via WRDS.  It's not cheap, so Mark's suggestion
of university access is probably among the best.  

For paid sources, something like Factset is probably much cheaper than
CRSP/Compustat/WRDS.

For free data, I don't really think there are any 'best' sources.  All
the data is public, but the collation of that data into a easily parsed
dataset is not.

Regards,

Brian

--
Brian G. Peterson
ph: +1.773.459.4973
im: bgpbraverock

On Fri, 2021-04-02 at 20:01 -0400, Mark Leeds wrote:

> Hi: I'm not absolutely certain if it has what you need but, if you
> are a
> student, you might be able to get access to
> crisp data for free.  It stands for center for research in security
> pricing
> and has some connection to the university of chicago.
> They sell ( or atleast used to )-provide lots of data on pricing and
> corporate actions. I don't know the current status of it but it
> might be worth looking into.
>
>
>
>
>
>
> On Fri, Apr 2, 2021 at 5:15 PM H <[hidden email]> wrote:
>
> > On 04/02/2021 06:14 AM, Andrew Piskorski wrote:
> > > On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
> > > > I would appreciate thoughts on a question pertaining to
> > > > corporate event
> > information:
> > > >
> > > > What would be the "best" source for automating retrieval of eg
> > dividends, ex-dividend dates, earning dates going forward etc.?
> > > For company fundamental data, in years past I used the S&P
> > > Compustat
> > > XpressFeed product, and was pretty happy with it.  It had all
> > > filings,
> > > plus daily prices and other ancillary data, arranged in a sane
> > > SQL
> > > schema, loadable into either Oracle or MS SQL Server (using their
> > > Windows C# XpressFeed Loader app, later converted to Java).  It
> > > was
> > > expensive, but if you're willing to pay, it's likely still a good
> > > choice today.
> > >
> > > Since we had Compustat, I never tried parsing data myself from
> > > Edgar
> > > or wherever else.  But of course if all you really want are dates
> > > of
> > > earnings announcements and dividends, it wouldn't make sense to
> > > pay
> > > for a full-featured product Compustat.
> > >
> > I have taken a very first look at parsing EDGAR filings in XML
> > format and
> > XBRL but let's say I want to begin by finding out past and upcoming
> > ex-dividend dates, dividends, split announcements and splits - I am
> > not
> > sure how I could "easily" retrieve those in an automated fashion.
> > Next item
> > of interest would be company announcements of other types of
> > upcoming key
> > events.
> >
> > It is of course possible that the above items are announced in
> > various
> > press releases which would require reading those manually.
> >
> > I do not know where eg Compustat gets its information but I am not
> > looking
> > for a commercial product. Yahoo lists some of these items such as
> > ex-dividend dates, dividends, splits, not sure where they get the
> > information.
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R
> > questions
> > should go.
> >
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R
> questions should go.

        [[alternative HTML version deleted]]

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Re: Retrieving corporate event information for listed companies

H-2
On April 2, 2021 9:17:07 PM EDT, "Brian G. Peterson" <[hidden email]> wrote:

>CRSP is still the gold standard in daily data, including corporate
>actions and most fundamentals (with the paired Compustat database).  It
>is typically accessed via WRDS.  It's not cheap, so Mark's suggestion
>of university access is probably among the best.  
>
>For paid sources, something like Factset is probably much cheaper than
>CRSP/Compustat/WRDS.
>
>For free data, I don't really think there are any 'best' sources.  All
>the data is public, but the collation of that data into a easily parsed
>dataset is not.
>
>Regards,
>
>Brian
>
>--
>Brian G. Peterson
>ph: +1.773.459.4973
>im: bgpbraverock
>
>On Fri, 2021-04-02 at 20:01 -0400, Mark Leeds wrote:
>> Hi: I'm not absolutely certain if it has what you need but, if you
>> are a
>> student, you might be able to get access to
>> crisp data for free.  It stands for center for research in security
>> pricing
>> and has some connection to the university of chicago.
>> They sell ( or atleast used to )-provide lots of data on pricing and
>> corporate actions. I don't know the current status of it but it
>> might be worth looking into.
>>
>>
>>
>>
>>
>>
>> On Fri, Apr 2, 2021 at 5:15 PM H <[hidden email]> wrote:
>>
>> > On 04/02/2021 06:14 AM, Andrew Piskorski wrote:
>> > > On Mon, Mar 29, 2021 at 08:46:35PM -0400, H wrote:
>> > > > I would appreciate thoughts on a question pertaining to
>> > > > corporate event
>> > information:
>> > > >
>> > > > What would be the "best" source for automating retrieval of eg
>> > dividends, ex-dividend dates, earning dates going forward etc.?
>> > > For company fundamental data, in years past I used the S&P
>> > > Compustat
>> > > XpressFeed product, and was pretty happy with it.  It had all
>> > > filings,
>> > > plus daily prices and other ancillary data, arranged in a sane
>> > > SQL
>> > > schema, loadable into either Oracle or MS SQL Server (using their
>> > > Windows C# XpressFeed Loader app, later converted to Java).  It
>> > > was
>> > > expensive, but if you're willing to pay, it's likely still a good
>> > > choice today.
>> > >
>> > > Since we had Compustat, I never tried parsing data myself from
>> > > Edgar
>> > > or wherever else.  But of course if all you really want are dates
>> > > of
>> > > earnings announcements and dividends, it wouldn't make sense to
>> > > pay
>> > > for a full-featured product Compustat.
>> > >
>> > I have taken a very first look at parsing EDGAR filings in XML
>> > format and
>> > XBRL but let's say I want to begin by finding out past and upcoming
>> > ex-dividend dates, dividends, split announcements and splits - I am
>> > not
>> > sure how I could "easily" retrieve those in an automated fashion.
>> > Next item
>> > of interest would be company announcements of other types of
>> > upcoming key
>> > events.
>> >
>> > It is of course possible that the above items are announced in
>> > various
>> > press releases which would require reading those manually.
>> >
>> > I do not know where eg Compustat gets its information but I am not
>> > looking
>> > for a commercial product. Yahoo lists some of these items such as
>> > ex-dividend dates, dividends, splits, not sure where they get the
>> > information.
>> >
>> > _______________________________________________
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I don't know how quickly this database is updated and therefore the delay but if possible i would like to use a primary source rather than a secondary source. It might be that parsing XBRL information from SEC EDGAR filings is workable - too early to tell.
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Re: Retrieving corporate event information for listed companies

braverock

On Fri, 2021-04-02 at 21:59 -0400, H wrote:
>
> I don't know how quickly this database is updated and therefore the
> delay but if possible i would like to use a primary source rather
> than a secondary source. It might be that parsing XBRL information
> from SEC EDGAR filings is workable - too early to tell.
>         [[alternative HTML version deleted]]

Not all EDGAR filings need to be electronic, depending on the size of
the company.  

CRSP is not timely.  A commercial service like Factset or similar will
have everything a few seconds to a few minutes after it is announced.
EDGAR is slower.

Regards,

Brian

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H-2
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Re: Retrieving corporate event information for listed companies

H-2
On 04/02/2021 10:02 PM, Brian G. Peterson wrote:

>
> On Fri, 2021-04-02 at 21:59 -0400, H wrote:
>>
>> I don't know how quickly this database is updated and therefore the delay but if possible i would like to use a primary source rather than a secondary source. It might be that parsing XBRL information from SEC EDGAR filings is workable - too early to tell.
>>         [[alternative HTML version deleted]]
>
> Not all EDGAR filings need to be electronic, depending on the size of the company.  
>
> CRSP is not timely.  A commercial service like Factset or similar will have everything a few seconds to a few minutes after it is announced. EDGAR is slower.
>
> Regards,
>
> Brian

Noted and I am only interested in companies listed on one of the exchanges. That begs the question where Factset and similar get their information: from company press releases? Do they not need to be posted "simultaneously" to SEC EDGAR if they contain major information? What is the "legally acceptable" delay for sharing the information with EDGAR?


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