is “dead data” really dead? fundamental data · presented to northfield’s 16th annual...

2

Is “Dead Data” Really Dead?Multiple Views of Historical

Fundamental Data

Marcus C. Bogue III, Ph.D.

Presented to Northfield’s 16th Annual Research Conference

March 16th through 18th, 2003

Stowe, Vermont

3/15/03

Overview• The Evolution of IBES Estimates and Actuals• Compustat Preliminary, As First Reported and

Restated (Regular)• Preliminary vs. As First Reported Sales• Portfolios with Differing Sales

3/15/03

Exxon CorpThird Quarter 1998 EPS Estimates

0

20

40

60

80

100

3/1/1997 6/1/1997 9/1/1997 12/1/1997 3/1/1998 6/1/1998 9/1/1998

Ana

lyst

s

0.00

0.10

0.20

0.30

0.40

0.50

Ear

nin

gs

per

Sh

are

IBES Actual EPS: 0.288

Source: I/B/E/S DetailSource: I/B/E/S Detail

3/15/03

Exxon CorpThird Quarter 1998 EPS Estimates and Actuals

0.2

0.25

0.3

0.35

0.4

0.45

0.5

3/1/1997 9/1/1997 3/1/1998 9/1/1998 3/1/1999 9/1/1999 3/1/2000

Ear

nin

gs

per

Sh

are

Compustat Restated EPS

Compustat Preliminary EPSand IBES Actual EPS

Compustat As First Reported EPS

Source: I/B/E/S Detail, Compustat As First Reported and Compustat Preliminary

3/15/03

The Evolution of IBES Estimates and Actuals

• Estimates are Revised as Opinions Change• An Actual is Reported• Actual Should Equal Preliminary?• Preliminary may be Clarified• Company Files Report• Company may Revise Report• “Dead Numbers” are not Really Dead

3/15/03



3/15/03

Compustat Preliminary, As First Reportedand Restated

• Preliminary Numbers Come from:– Company Press Announcements– The Wall Street Journal– PR Newswire– Etc.

• As First Reported and Restated Numbers Come from:– SEC 10-K/20-F (Annual) and 10-Q/6-K (Quarterly) Filings– Company Annual and Quarterly Reports– Etc.

• Restatements Require an Additional Filing or Report

3/15/03

Companies with Compustat Quarterly Preliminary Data

0%

25%

50%

75%

100%

Mar-87

Mar-88

Mar-89

Mar-90

Mar-91

Mar-92

Mar-93

Mar-94

Mar-95

Mar-96

Mar-97

Mar-98

Mar-99

Mar-00

Mar-01

Mar-02

S&P 500Next Largest 1000Next Largest 1000 to 2000

Compusat Did Not Collect Preliminary Data During this Period

3/15/03

Compustat Preliminary Operating EPS vs IBES Actualsfor Third Quarter 1999 for S&P 500

-3

-2

-1

0

1

2

3

4

-3 -2 -1 0 1 2 3 4

IBES Actual EPS

Co

mp

ust

at P

relim

inar

y O

per

atin

g E

PS

Source: I/B/E/S Detail & Compustat Preliminary

3/15/03

Compustat Preliminary Primary EPS vs IBES Actualsfor Third Quarter 1999 for S&P 500

-3

-2

-1

0

1

2

3

4

-3 -2 -1 0 1 2 3 4

IBES Actual EPS

Com

pust

at P

relim

inar

y P

rim

ary

EP

S

Source: I/B/E/S Detail & Compustat Preliminary

3/15/03

Percent of Companies withCompustat Operating and IBES Actual EPS

Differing by Less Than $0.01 for S&P 500

30%

35%

40%

45%

50%

55%

60%

65%

70%

Mar-90

Mar-91

Mar-92

Mar-93

Mar-94

Mar-95

Mar-96

Mar-97

Mar-98

Mar-99

Mar-00

Mar-01

Mar-02

Mar-03

Restated

As-First-Reported

Preliminary

Percent of Companies withCompustat Primary and IBES Actual EPSDiffering by Less Than $0.01 for S&P 500

30%

35%

40%

45%

50%

55%

60%

65%

70%

Mar-90

Mar-91

Mar-92

Mar-93

Mar-94

Mar-95

Mar-96

Mar-97

Mar-98

Mar-99

Mar-00

Mar-01

Mar-02

Mar-03

Restated

As-First-Reported

Preliminary

3/15/03

Actuals are Like Preliminary

• Actuals Match Operating EPS Best• Some Actuals Match Primary Better• Preliminary EPS Match Better Than As First

Reported

3/15/03

Companies with Compustat Quarterly Restatated Data

0%

10%

20%

30%

40%

50%

60%

Mar-87

Mar-88

Mar-89

Mar-90

Mar-91

Mar-92

Mar-93

Mar-94

Mar-95

Mar-96

Mar-97

Mar-98

Mar-99

Mar-00

Mar-01

Mar-02

S&P 500Next Largest 1000Next Largest 1000 to 2000 Restatements have yet to Happen

3/15/03

As First Reported vs. Restated Data

Exxon Mobil Corp

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

0.45

0.5

Jan-9

0Ja

n-91Ja

n-92Ja

n-93Ja

n-94Ja

n-95Ja

n-96Ja

n-97Ja

n-98Ja

n-99Ja

n-00Ja

n-01Ja

n-02

Sal

es to

Pri

ce R

atio

Restated

As First Reported

Exxon Mobil Corp

0

0.01

0.02

0.03

0.04

0.05

0.06

Jan-9

0Ja

n-91Ja

n-92Ja

n-93Ja

n-94Ja

n-95Ja

n-96Ja

n-97Ja

n-98Ja

n-99Ja

n-00Ja

n-01Ja

n-02

Cas

h Fl

ow to

Pri

ce R

atio

Restated

As First Reported

3/15/03



3/15/03

Companies with Different Compustat Quarterly Preliminary and As First Reported Sales

(Data Lagged 2 Months for Reporting Delay)

0

50

100

150

200

250

300

350

400

450

Jan-90

Jan-91

Jan-92

Jan-93

Jan-94

Jan-95

Jan-96

Jan-97

Jan-98

Jan-99

Jan-00

Jan-01

Jan-02

Jan-03

Nu

mb

er o

f Co

mp

anie

s

S&P 500

S&P 1500

Source: Compustat As First Reported and Compustat Preliminary

Compustat Did Not Collect Preliminary During this Period

Dramatic Change in June 1998

3/15/03

Companies with More Than 5% Difference in Preliminary and As First Reported Sales for First Quarter 1997 from the S&P 1500

0%

10%

20%

30%

40%

50%

60%

70%

80%

DUKE EN

ERGY C

ORPHFS

INC

SALO

MON SMITH

BARNEY

HLDGS

HOMESTA

KE M

INING

BEAR

STEA

RNS COMPA

NIES IN

C

FORTU

NE BRAN

DS INC

DEAN W

ITTER

DISCOVE

R & CO

COEUR D'AL

ENE M

INES CORP

INCO LTD

MALLIN

CKRODT IN

C

MANPO

WER IN

C/WI

TECO EN

ERGY I

NC

MORGAN (J

P) & C

O

MARAT

HON O

IL CORP

SCHWAB

(CHAR

LES)

CORP

WACHOVIA

CORP-OLD

NOVEN PH

ARMAC

EUTIC

ALS I

NC

SUNOCO IN

C

RAYMOND JA

MES FI

NANCIAL

CORP

PACIFIC

ORP

MOBIL CO

RP

ALEX

ANDER

& BA

LDWIN IN

C

AMER

ICAN IN

TERNAT

IONAL G

ROUP

CHIRON CORP

STAN

DARD PA

CIFIC CP

PINNAC

LE EN

TERTA

INMENT I

NC

PRIM

E HOSP

ITALIT

Y CORP

MERCAN

TILE B

ANKS

HARES

CORP

COMVERSE

TECHNOLO

GY INC

AMER

ICAN EX

PRES

S

COMDISCO IN

C.

CITY NAT

IONAL

CORP

UNUMPROVID

ENT C

ORP

NFO W

ORLDWIDE I

NC

FIRST

HEALT

H GROUP C

ORP

U S BA

NCORP-OLD

Dif

fere

nce

in Q

uar

terl

y S

ales

For First Quarter 1997 there were 340 of the S&P 1500 Companies with Differing As First Reported and Preliminary Sales

3/15/03

Preliminary vs. As First Reported Sales• Many Changes to Even the Sales Number• Dramatic Reduction in Number of Changes in

Mid 1998• Now Just Below 10% of S&P 1500 and Just

Above 10% of S&P 500 Exhibit Changes

3/15/03



3/15/03

Portfolios with Differing Preliminary and As First Reported Salesfrom S&P 500

0

1

2

3

4

5

6

7

8

Jan-9

0Ja

n-91

Jan-9

2Ja

n-93

Jan-9

4Ja

n-95

Jan-9

6Ja

n-97

Jan-9

8Ja

n-99

Jan-0

0Ja

n-01

Jan-0

2Ja

n-03

Cum

ulat

ive

Val

ue o

f $1

Inve

sted

S&P 500 (Equally Weighted)

Preliminary > As First Reported Sales

Preliminary < As First Reported Sales


3/15/03


-0.2

0

0.2

0.4

0.6

0.8

1

Jan-90

Jan-91

Jan-92

Jan-9

3Ja

n-94

Jan-9

5Ja

n-96

Jan-9

7

Jan-9

8

Jan-9

9

Jan-0

0

Jan-0

1

Jan-0

2Jan

-03Lo

g( C

um

ula

tive

Val

ue

of $

1 In

vest

ed ) S&P 500 (Equally Weighted)



Source: Compustat As First Reported and Preliminary

3/15/03


0

10

20

30

40

50

60

70

80

90

100

Jan-90

Jan-91

Jan-92

Jan-93

Jan-94

Jan-95

Jan-96

Jan-97

Jan-98

Jan-99

Jan-00

Jan-01

Jan-02

Jan-03

Num

ber

of C

ompa

nies




3/15/03

Long Preliminary < As First Reported Sales Portfolioand

Short Preliminary > As First Reported Sales Portfolio

0.5

0.75

1

1.25

1.5

1.75

2

Jan-9

0Ja

n-91

Jan-9

2Ja

n-93

Jan-9

4Ja

n-95

Jan-9

6Ja

n-97

Jan-9

8Ja

n-99

Jan-0

0Ja

n-01

Jan-0

2Ja

n-03

Cu

mu

lati

ve V

alu

e o

f $1

Inve

sted


3/15/03


0

10

20

30

40

50

60

70

80

90

100

Jan-9

0Ja

n-91

Jan-9

2

Jan-9

3

Jan-9

4

Jan-9

5

Jan-9

6Ja

n-97

Jan-9

8Ja

n-99

Jan-0

0Ja

n-01

Jan-0

2Ja

n-03

Per

cen

t o

f N

ew C

om

pan

ies

in P

ort

folio Preliminary > As First Reported Sales



3/15/03

Market Capitalization Breakdown by Fiscal Year End Monthat the End of 2002

0

1

2

3

4

5

6

7

8

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Tota

l Mar

ket C

apita

lizat

ion

(Tri

llion

s)

S&P 500S&P 1500

6.5% for S&P 500, 6.3% for S&P 1500principally retail companies

6.8% for S&P 500, 6.8% for S&P 1500principally Microsoft and P&G

74.8% for S&P 500, 74.1% for S&P 1500

3/15/03


0

1

2

3

4

5

Jan-95

Jan-96

Jan-97

Jan-98

Jan-99

Jan-00

Jan-01

Jan-02

Jan-03

Cum

ulat

ive

Val

ue o

f $1

Inve

sted





3/15/03


0

0.25

0.5

0.75

Jan-95

Jan-96

Jan-97

Jan-98

Jan-99

Jan-00

Jan-01

Jan-02

Jan-03

Lo

g(

Cu

mu

lati

ve

Va

lue

of

$1

In

ve

ste

d )





3/15/03


0

50

100

150

200

250

300

350

400

Jan-95

Jan-96

Jan-97

Jan-98

Jan-99

Jan-00

Jan-01

Jan-02

Jan-03

Nu

mb

er o

f Co

mp

anie

s

Preliminary > As First Reported SalesPreliminary < As First Reported Sales


3/15/03

Long Preliminary < As First Reported Sales Portfolioand

Short Preliminary < As First Reported Sales Portfolio

0.8

1

1.2

1.4

1.6

1.8

Jan-95

Jan-96

Jan-97

Jan-98

Jan-99

Jan-00

Jan-01

Jan-02

Jan-03

Cum

ulat

ive

Val

ue o

f $1

Inve

sted


3/15/03

Beta (Against Equally Weighted S&P 1500) for Portfolios with Differing Preliminary and As First Reported Sales from the S&P 1500

-0.5

0

0.5

1

1.5

Jan-9

5

May-95

Sep-9

5Ja

n-96

May-96

Sep-9

6Ja

n-97

May-97

Sep-9

7Ja

n-98

May-98

Sep-9

8Ja

n-99

May-99

Sep-9

9Ja

n-00

May-00

Sep-0

0Ja

n-01

May-01

Sep-0

1Ja

n-02

May-02

Sep-0

2Ja

n-03

Bet

a


Preliminary < As First Reported SalesLong/Short Hedge


3/15/03

Fraction of Time Company has Preliminary Sales Different that As First Reported Sales from S&P 1500

0%10%20%30%40%50%60%70%80%90%

100%

ALEX

ANDE

R & B

ALDW

IN IN

CEX

XON

MOBIL C

ORP

MURPH

Y OIL

CORP

UNOCA

L CORP

MARAT

HON

OIL CO

RP

VALA

SSIS

COMMUN

ICAT

IONS

INC

TEXA

CO IN

C

MANDA

LAY

RESO

RT G

ROUP

SUNO

CO IN

CDE

VRY

INC

GENER

AL E

LECT

RIC

CONO

BLE E

NERG

Y INC

VARC

O INTE

RNAT

IONA

L-OLD

AMER

ADA

HESS

COR

P

GENER

AL M

OTORS

CORP

INTE

RPUB

LIC G

ROUP

OF C

OSMOBIL

CORP

LEE E

NTER

PRISE

S

CEC

ENTE

RTAIN

MENT I

NCSA

FECO

COR

PRA

YONI

ER IN

CIN

TL PA

PER

CO

LINCO

LN N

ATIO

NAL C

ORP

Preliminary > As First ReportedPreliminary < As First Reported

Source : Compustat As First Reported and Compustat Preliminary

3/15/03

Fraction of Time Company has Preliminary Sales Different that As First Reported Sales from S&P 1500

0%

10%

20%

30%40%

50%

60%

70%

80%

90%

TEXA

S IND

USTR

IES IN

C

SCHW

AB (C

HARL

ES) C

ORP

VALE

RO ENER

GY CORP

DEER

E & CO

DILLAR

DS INC -C

L A

HARLE

Y-DAV

IDSON IN

C

AMER

ICAN E

XPRE

SS

FLUOR C

ORP

SCIEN

TIFIC-

ATLA

NTA I

NC

WELLM

AN IN

C

Preliminary < As First Reported

Preliminary > As First Reported


3/15/03

Portfolios with Differing Sales• Have Differing Return Characteristics,

Particularly after Mid 1998• Over and Under S&P 500 Portfolios are Small• Over and Under S&P 1500 Portfolios are Larger

and Much More Robust• There are Consistent Over and Under S&P 1500

Portfolio Constituents• Pattern of Returns is Consistent and Similar to

Earnings Estimates Surprise!

is “dead data” really dead? fundamental data · presented to northfield’s 16th annual...

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