Dataset Card for SP500-EDGAR-10K

Dataset Description

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Dataset Summary

This dataset contains the annual reports for all SP500 historical constituents from 2010-2022 from SEC EDGAR Form 10-K filings. It also contains n-day future returns of each firm's stock price from each filing date.

Dataset Structure

Data Fields

[More Information Needed]

Data Splits

[More Information Needed]

Dataset Creation

Source Data

Initial Data Collection and Normalization

10-K filings data was collected and processed using edgar-crawler available here. Return data was computed manually from other price data sources.

Annotations

Annotation process

N/A

Who are the annotators?

N/A

Personal and Sensitive Information

N/A

Considerations for Using the Data

Social Impact of Dataset

N/A

Discussion of Biases

The firms in the dataset are constructed from historical SP500 membership data, removing survival biases.

Other Known Limitations

N/A

Licensing Information

MIT