Data Feed: Core Earnings and Earnings Distortion Metrics
This dataset provides the Core Earnings and Earnings Distortion data featured in the paper "Core Earnings: New Data and Evidence" published in The Journal of Financial Economics. A summary of the paper is available here. Specific trading strategies for monetizing the novel alpha in Core Earnings and Earnings Distortion are here.
Data Feed Samples & General Information
Data Type
Description
Sample Download
Additional Documentation
Real-Time Data
Current, live data. Updated daily.
Point-in-Time Backtest Data
Point-in-time data for backtesting.
Historical Data
Best currently available historical data.
Datapoints
Name
Description
Datapoint
Core Earnings
Core Earnings, After-Tax measures the sustainable, recurring portion of firms' profits.
CORE_EARNINGS_AFTER_TAX
Total Core Earnings Distortion, Net
Total Earnings Distortion, Net is the total of all (hidden & reported) unusual or less persistent non-operating losses and gains and the income tax distortion associated with these items. It measures the difference of reported GAAP Net Income from Core Earnings
EARNINGS_DISTORTION_TOTAL
Core Earnings Distortion from Hidden Items, Net
Earnings distortion from unusual or less persistent non-operating losses and gains that do not appear directly on the income statement. These items are bundled inside other line items that appear on the income statement. Hidden items are found only in the Management Discussion & Analysis (MD&A) or in the footnotes to the financial statements.
EARNINGS_DISTORTION_HIDDEN
Core Earnings Distortion from Reported Items Pre-Tax, Net
Earnings distortion from unusual or less persistent non-operating losses and gains that are reported pre-tax directly on the income statement.
EARNINGS_DISTORTION_REPORTED_PRE_TAX
Income Tax Distortion
Income tax distortion. Income Tax Distortion is calculated for each company individually based on our calculation of Cash Operating Taxes.
TAX_DISTORTION
Core Earnings Distortion from Reported Items After-Tax, Net
Earnings distortion from unusual or less persistent non-operating losses and gains that are reported after-tax directly on the income statement.
EARNINGS_DISTORTION_REPORTED_AFTER_TAX
GAAP Net Income
GAAP net income.
INCOME_NET
Basic Weighted Avg. Shares
Weighted average basic shares oustanding as reported on the income statment, adjusted for stock splits.
WABSO_SPLIT_ADJUSTED
Total Core Earnings Distortion Net Per Weighted Average Basic Shares Outstanding (Split Adjusted)
Total Core Earnings Distortion divided by weighted average basic shares outstanding (split adjusted).
EARNINGS_DISTORTION_TOTAL_PER_WABSO_SPLIT_ADJUSTED
Weighted Average Diluted Shares Outstanding (Split Adjusted)
Weighted average diluted shares oustanding as reported on the income statment, adjusted for stock splits.
WADSO_SPLIT_ADJUSTED
Total Core Earnings Distortion, Net Weighted Average Diluted Shares Outstanding (Split Adjusted)
Total Core Earnings Distortion divided by weighted average diluted shares outstanding (split adjusted).
EARNINGS_DISTORTION_TOTAL_PER_WADSO_SPLIT_ADJUSTED
*Indicates the datapoint is affected by stock price.
