Does Python has a similar library like quantmod in R that can download financial statement data? I want to download the historical revenue of each stock in Python. Can someone give me a hint? Thanks.
Yes a lot of them, zipline, pandas and even matplotlib can download data from Yahoo Finance. I recommend you use pandas:
>>> from pandas.io.data import DataReader
>>> from datetime import datetime
>>> goog = DataReader("GOOG", "yahoo", datetime(2000,1,1), datetime(2012,1,1))
>>> goog["Adj Close"]
Date
2004-08-19 100.34
2004-08-20 108.31
2004-08-23 109.40
2004-08-24 104.87
2004-08-25 106.00
...