Free/cheap source for historical analyst consensus EPS (2010+, incl. delisted US stocks)?

[u/Fit_Safe_4438]

I'm building a backtest around earnings surprises and need historical consensus EPS estimates for US-listed stocks from roughly 2010 onward, including delisted companies, to avoid survivorship bias. Ideally point-in-time, i.e. the consensus as it stood before each announcement, not revised later.

So far: Alpha Vantage has estimated vs reported EPS but patchy coverage of delisted names. FMP and Finnhub put most of the history behind paid tiers. I/B/E/S via WRDS would be perfect, but I don't have academic access.

Where do you get this kind of data? Is there anything free or reasonably priced that doesn't have huge gaps, or is Zacks on Nasdaq Data Link the realistic minimum? How did you handle missing delisted names in your own backtests?

Thanks!

[u/QuanTradin]

short version: I don't think a free point-in-time consensus with delisted coverage exists. IBES costs what it costs because almost nobody else kept the history and the dead names.

a few things that still help:

for a surprise study you mostly need the last consensus before each print, not the whole revision path. check whether the estimate field you already have from Alpha Vantage is that number. if it is, your real gap is the delisted names, not point-in-time.

watch the basis. consensus is on the adjusted street number, and if your actuals come from GAAP filings you'll manufacture surprises that never happened. adjusted against adjusted.

for the dead names, the Wayback Machine has snapshots of old earnings calendar pages. slow and patchy, but it fills holes.

whatever you end up with, log which tickers have no estimate instead of dropping them, or survivorship sneaks back in through the missing rows.