Metadata: A Summary of Financial Statement Reporting Frequencies around the World

For any global investor, understanding when companies worldwide issue financial statements is an important part of financial analysis in both discretionary and quantitative investing.

Specifically, for quantitative investing, one way to form investment strategies is through the lens of factor investing — systematic rules-based strategies which may use a combination of both price patterns and financial statement data. The signals relying on financial statement data are typically updated periodically. However, the frequency with which they can be updated varies across different markets based on different financial reporting regulations.

For example, take the Fama-French models (Eugene Fama won the Nobel Prize in 2013). Created in 1993, when both Fama and French were professors at the University of Chicago Graduate School of Business, the model appends the then-popular Capital Asset Pricing Model to include a size factor — constructed by sorting firms based on market capitalization, and a value factor — constructed by sorting firms based on price-to-book ratios. In 2015, Fama and French expanded their model to international markets. It was easily doable because the accounting data (book equity) is only required annually.

On the other hand, a different asset pricing model based on investment theory, termed the “q-factor” model, requires quarterly data to extend. This is not plausible in all countries. For example, in Australia, accounting data is only available semi-annually.

Therefore, a necessary meta-data for global investing is knowing how frequently firms around the world release financial statements. For each country, I collect data on the main reporting frequency. I also provide a third column based on the most the recent fiscal year 2020 to illustrate the frequency of quarterly to semi-annual filings.

I also provide a third column titled “Q/SA Ratio” based on the most recent Fiscal Year 2020 to illustrate the frequency of quarterly to semi-annual filings. A ratio above 1 means that the dominant most frequent filing is quarterly, and a ratio less than 1 means the dominant most frequent filing is semi-annual. The further away from 1 the ratio is, the more dominant the primary reporting frequency. We gather data for 32 liquid markets, shown below.

For example, for Thailand, the ratio of firms filing quarterly to semi-annual is 661, corresponding to only 2 semi-annual filings compared to 1,322 quarterly filings for the Fiscal Year 2020.

Countries that seem to have an almost even mix of quarterly and semi-annual filings include Hungary, Portugal, and Spain.

Why is the Q/SA ratio not 0 or infinite?

Because the reporting requirements are not fixed in each market, they can vary by exchange. Even within a stock exchange, firms satisfying different criteria can file financial statements at different frequencies. Therefore, the data above do not pertain directly to legal requirements explicitly. Countries are reporting both quarterly and semi-annual, as many countries have different qualification criteria.

Instead, I share the data for practical reasons, taking the perspective of a potential investor looking for financial statement data.