When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks

• 成果类型: Article
• 署名作者: Loughran, Tim; McDonald, Bill
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01625.x
• 发表日期: 2011
• 页码: 35-65
• 关键词: information; RISK

摘要

Previous research uses negative word counts to measure the tone of a text. We show that word lists developed for other disciplines misclassify common words in financial text. In a large sample of 10-Ks during 1994 to 2008, almost three-fourths of the words identified as negative by the widely used Harvard Dictionary are words typically not considered negative in financial contexts. We develop an alternative negative word list, along with five other word lists, that better reflect tone in financial text. We link the word lists to 10-K filing returns, trading volume, return volatility, fraud, material weakness, and unexpected earnings.