At the beginning of 2022, the FSC (Taiwan) require listed companies with a capital of more than 10 billion to disclose the Forward-looking Statement before March 15, which caused investors to pay more attention to the pre-audit information.
It is generally recognized that the performance of corporate financial reports is positively correlated with the stock market value of the company.
But before the audited annual report, TEJ offer the Forward-looking Statement announced in Investor Conference which is earlier reflected in the stock price that the quantitative strategy team may concern about. Moreover, the TEJ research team found that portfolios related to earnings quality and profit growth investment variables generate high alpha in return.
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Take TSMC(2330.TW) 2021Q2 financial report as a sample, the Q2 report is requested to be announced before August 15th. Before the end date, TSMC announces a forward-looking statement on July 15th and August 13th respectively.
On July 15th at the investor conference, the annual earning didn’t meet investor expectations, and the stock price go down sharply after investing conference.
One month later, the 2021 Q2 audit financial report announce on 13th August, and stock prices have already been reflected previously. Through this case, we find that a forward-looking statement is important and can not be ignored.
Due to time differences in data updating and announcement (financial statements restatement, change of the number of dividends, the difference resulting from declared and actual shares buyback, etc.), misusing information in modeling is incapable of reflecting actual circumstances, and might result in an inaccurate investment strategy.
TEJ Quantitative datasets allow and help decision-makers to adopt accurate Point-in-time data.
TEJ Quantitative datasets help users to avoid look-ahead bias and make inaccurate lagging assumptions and help and gain more reliable results on Quant research.
For Point-In-Time data related to financial performance, we provide the following information：
Monthly Revenue Database
• Listed companies announced their monthly revenue before the 10th of each month, which can reflect the company’s revenue changes immediately.
Forward-looking Statement Data
• Information from Investor Conference or company news is earlier than audited financial data that is more early reflect in the stock price
• Before 2021, the forward-looking statement is not required to disclose, it is very difficult to collect, and TEJ has built the database over 10 years.
Financial statement Database
• If financial statements are restated many times, TEJ record every version of data with a timestamp.
• Accumulated and quarterly financial ratios are presented on an LTM (Last 12 months) basis.