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Stocks Quarterly Earnings
This dataset includes quarterly earnings report data for various stocks.
355,371 rows over 6,406 symbols, 8 columns, covering 1996-01-31 to 2026-07-31. Refreshed monthly.
Strategies Built on This Data
490 papers in the Papers With Backtest catalogue declare this dataset as an input. 456 of them have been coded and run over their own full history. The median replicated Sharpe ratio is +0.20, and 32% clear a t-statistic of 1.96 on their own sample, against 48% across all 4,837 replications in the library.
Some of the strongest results that lean on it:
| Strategy | Sharpe | t-stat | Tested over |
|---|---|---|---|
| A Simple But Well-Performing Strategy Based on Earnings Announcement Drift | +0.94 | 5.1 | 30 years |
| Event Day 0? After-hours Earnings Announcements | +0.77 | 4.2 | 30 years |
| Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners | +0.64 | 3.5 | 30 years |
| On the Bayesian Interpretation of Black-litterman | +0.60 | 3.2 | 29 years |
A Sharpe ratio quoted without its t-statistic hides how much of the library cannot be distinguished from zero, which is why both are shown. The figures are in-sample over each strategy's own window and carry no transaction costs.
Why It Matters
This dataset enhances event-driven and fundamental equity strategies by:
- Event-driven trading: Track EPS and revenue surprises to build post-earnings drift and reversal signals.
- Fundamental momentum: Consecutive beats or misses inform factor timing and positioning.
- Risk management: Guidance changes and surprise magnitude help size exposure around reporting dates.
Load It
Installation/Upgrade:
pip install --upgrade pwb-toolbox
Load the Dataset:
from pwb_toolbox import datasets as pwb_ds
df = pwb_ds.load_dataset("Stocks-Quarterly-Earnings", symbols=["AAPL"])
print(df.iloc[0, :])
Example Output:
symbol AAPL
date 1996-03-31
reported_date 1996-04-17
reported_eps -0.07
estimated_eps -0.05
surprise -0.02
surprise_percentage -40.0
report_time pre-market
Columns
| Column Name | Description |
|---|---|
| symbol | Stock ticker. |
| date | Fiscal period end date (YYYY-MM-DD). |
| reported_date | Date the earnings were reported. |
| reported_eps | EPS reported for the quarter. |
| estimated_eps | Consensus EPS estimate before the release. |
| surprise | Difference between reported and estimated EPS. |
| surprise_percentage | Surprise expressed as a percentage of the estimate. |
| report_time | Time of day the report was released. |
Access
Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers the other datasets in this organisation.
Elsewhere
- Dataset page and coverage charts
- The strategy catalogue, 3,806 papers and 4,837 replicated strategies
pwb-toolbox, the loader used in the snippet aboveawesome-systematic-trading, the replicated strategies with their measured Sharpe- Every dataset in this organisation
Papers With Backtest publishes 32 datasets on the Hub and codes the papers that use them. Every strategy in the catalogue is run over its own full history before it is published, which is where the numbers above come from.
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