Historical Earnings Surprise, EPS and Consensus Data

by Patrick Fonce, 2747 days ago

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An earnings surprise is when a company reports an earnings number that is not expected by analysts. In other words, an earnings surprise occurs when the earnings per share (EPS) is not in-line with the consensus estimates. The earnings may exceed, be in-line or below the consensus estimates. Usually, an earnings surprise cause the stock price to move quickly in either direction depending on whether that surprise was positive or negative and also on how high or low the surprise is (the difference between the reported earnings and the consensus forecast).

The higher the earnings surprise is the more likely the stock will go up and the lower the earnings surprise is (negative) the more likely the stock will go down.

This download item gets historical EPS, Consensus EPS and earnings surprise in percentage. It retrieves the reported earnings per share, consensus EPS and surprise numbers for U.S. and International stocks. The data is stored in the database "earnings_cal", the same database I have used in (Historical Earnings Calendar for Major Stock Exchanges), an item that downloads earnings release time (After Market Close, Before Market Close or Time Not Supplied). You can use both items to save the release time in addition to the EPS, consensus EPS and earnings surprise.

The different fields created and filled by this trading object are:
EPS: This field gets the earnings per share.
Consensus: This field gets the consensus EPS. The analyst's expectation of what will be the EPS.
Surprise: The Earnings surprise. This fundamental item is expressed in percentage and it is calculated by taking the percentage value of the division of EPS by the Analysts Consensus.

Earnings history for selected symbols:
To display historical earnings for the selected symbol, select "Tools" then "Database Data". Next to "Database", select "earnings_cal". At the bottom of the control (next to "Filters"), select whether you want to show earnings history for the selected chart, all charts or all stocks in your database.

Access data programmatically from the earnings history database:
Use the "GetData" function to get earnings surprise data for U.S. stocks. Here is an example that shows you how to plot historical earnings surprises on a chart (Right click on chart then select "Edit Formula"):

a = GetData("earnings_cal", "surprise", Zero); // Returns earnings surprise in percentage
plot(a, "", colorRed, ChartLine, StyleOwnScale); // Plots historical EPS surprise numbers

To get consensus EPS, simply type:
a = GetData("earnings_cal", "consensus", Zero); // Returns historical EPS consensus

Sample Data:
http://biz.yahoo.com/z/20120703.html