There are a variety of online sources of company fundamental data (historical financial filings).  The easiest and most reliable are the paid services, such as Compustat, Capital IQ, or Bloomberg.

In this recipe we show how to use Yahoo Finance’s “Stock Market Functions” Excel add-in, which consolidates references to a variety of company and market data from several online sources.

For a number of reasons, we desire quarterly filings:

1. For statistical studies, more data points increases the significance of the findings
2. Some corporate finance questions, such as liquidity requirements, require analysis of seasonal swings in cash levels, sales, etc.  (Many companies conduct liquidity analyses on a monthly basis.)
3. A typical argument for circularity in company models, mid-period averaging, is eliminated.

Recipe

1. Join Yahoo’s smf_addin group and follow instructions to install the Excel addin
2. Test the “RCHGetElementNumber-Template-AdvFN-Financial-Statements” spreadsheet.  Data elements are listed in the RCHGetElementNumber-Element-Definitions.xls file.
3. Select your desired elements and copy into a nicely formatted sheet (for example, balancing financial statements for the firm).
4. Add checks for data validity.  For example, if you download individual asset line items, you should check that their sum equals the “Total Assets” that you can separately download from the data source.

When done your workbook may look like the download available here:  [download id=”3″]

References

• If you are doing cross-sectional studies, you can find some useful ticker lists at Standard&Poors.
• List of free online data sources
• JMU’s Financial Data Resource List (page 3)
• AAII How to create your own Web queries
• Stockpup provides long quarterly histories, but of only a few data items (for equity valuation)
• The Federal Reserve publishes historical rates information (Treasuries, swaps, Aaa and Baa bond yields)