Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports

By Feng Li. 2006

278 citations recorded by the source corpus.

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Citations in the corpus

Textual Sentiment in Finance: A Survey of Methods and Models (2014, neutral): “Li (2006), Tetlock (2007), Tetlock et el.”
Management’s tone change, post earnings announcement drift and accruals (2010, unknown): “We are also different from Li (2006) who is interested in the incremental effects of the subjective measures of references to risk changes in annual reports (including the MD&As) on future stock prices and earnings.”
Litigation Risk, Strategic Disclosure and the Underpricing of Initial Public Offerings (2012, unknown): “In other contexts, papers such as Antweiler and Frank (2004), Tetlock (2007), Tetlock, Saar-Tsechanksy, and Macskassy (2008), Li (2006), Boukus and Rosenberg (2006), and Loughran and McDonald (2011) find word content to be informative in predicting stock price movements.”
The Power of Voice: Managerial Affective States and Future Firm Performance (2012, unknown): “22 To estimate abnormal returns we use the daily returns on the size-BE/ME portfolio in which the firm belongs (Fama and French, 1993) as the benchmark returns. We measure firm size as the natural logarithm of market value of equity (LNMVE) and book to market ratio (BM) at the end of fiscal quarter ”
Analysis of year-over-year changes in Risk Factors Disclosure in 10-K filings (2018, unknown): “There has been some work done in this direction as well [6, 5, 17, 12], such as, using sentiment and tone from the textual reports to predict the failure but there is still a lot of scope for improvement.”
Corporate Risk Reporting (2008, background): “March and Shapira (1987) point out that managers associate risk primarily with negative outcomes and do not treat uncertainty about positive outcomes as an important aspect of risk.”
Applications of news analytics in finance: A review (2012, unknown): “Li (2006) uses a simple ranking procedure to identify stocks with positive and negative (financial language) sentiment.”
Annual Report Readability, Current Earnings, and Earnings Persistence (2008, background): “Managers may benefit from writing more complicated annual reports by delaying the incorporation of bad news into stock prices, as prior studies show that the stock market may under-react to the textual information found in annual reports (e.g., Li, 2006).”
Beyond the Numbers: Measuring the Information Content of Earnings Press Release Language (2011, unknown): “5 Li (2006a, 2006b) investigates whether the use of the words “risk” and “uncertain” in annual reports is associated with future earnings and returns, and whether annual report readability is related to earnings persistence.”
What drives mandatory and voluntary risk reporting variations across Germany, UK and US? (2015, unknown): “, foreign exchange rate disclosure (Marshall and Weetman, 2002, 2007), MRR (Li, 2008) or aggregated risk reporting (Linsley and Shrives, 2006)).”
Predicting Risk from Financial Reports with Regression (2009, unknown): “Das and Chen (2001) and Antweiler and Frank (2004) ask whether messages posted on message boards can help explain stock performance, while Li (2005) measures the association between frequency of words associated with risk and subsequent stock returns.”
Textual analysis in finance (2019, background): “More examples are Li (2006) that count the frequency of “risk” and “uncertainty” words and their variants to measure the risk sentiment in corporate annual reports and Balvers et al. (2016) that consider the frequency of terms related to “customer satisfaction” in corporate annual reports to study…”
Textual risk disclosures and investors’ risk perceptions (2013, unknown): “Li (2006) expands the scope of risk disclosures using a similar method with ours and finds that companies signal bad future earnings through textual risk disclosures and that stock returns of these companies underperform after the filings, consistent with investors underreacting (or not reacting)…”
Quantifying Sentiment with News Media across Local Housing Markets (2018, background): “Like the Case-Shiller home price index, the FHFA home price index estimates price changes for single-family homes with repeat sales to control for the changing quality of houses being sold through time. Their estimates are based on data on repeat mortgage transactions that have been purchased or sec”