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Compustat Point-In-Time Data
The standard fundamental data provided by Current Compustat contains only the most recently released company figures. Through the process of collecting the data, the original values and the values collected from any prior restatements may be replaced. Compustat Point-in-Time gives the user the ability to view the originally reported value as well as any subsequent restatements.
The benefits of using this data are two-fold: not only does it answer the question "What did investors know?" but more importantly "When did they know it?". Point-in-Time data allows a user a consistent view of quarterly finalized historical financial data the way it appeared at the end of any month.
Compustat Point-in-Time gives a three dimensional view of the data: data item, reporting period, and point date. Below is a chart of what Point-in-Time data looks like with preliminary data overlaid (Preliminary History and annual data is not contained in Point-in-Time). In orange is the preliminary data, in the light green is the first finalized data (As First Reported), the other shades of green are subsequent restatements with blue being the most recent finalized data found in Current Compustat.
Following the chart: a preliminary figure for Q1Y04 sales was released in April 2004; this number was finalized in May 2004; in July 2004, GM released a preliminary figure for Q2Y04 and restated Q1Y04's sales figure. Sales for Q1Y04 is altered numerous times before arriving at its current value. With Compustat Point-in-Time the user has a 20 quarter rolling history of the way each data item appeared for a company as of a month end, thus eliminating all lag assumptions.
Assumed Lags in Backtests
Lag assumptions are used because researchers do not know when the data was actually reported. The chart below shows the average lag discrepancy for nine commonly used assumptions. None of these common lag assumptions justly mirror the real reporting lag. Using Compustat Point-in-Time, a user can view the actual reporting lag and improve upon scenarios to simulate the actual investing environments. Ideally, the chart below should show no red or blue columns.
The chart below focuses in on a common lag assumption: a two-month lag on the 1st through 3rd fiscal quarters and a three-month lag on the final fiscal quarter. If this lag assumption was perfect, there would be no red or blue lines. This assumption however incorrectly uses a vast amount of data that was not known at the time (red line) and loses some data that was known (blue line).
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