Stock market returns and the content of annual report narratives.
Journal article
Yekini, Liafisu Sina and Wisniewski, Tomasz 2015. Stock market returns and the content of annual report narratives. Accounting Forum. https://doi.org/10.1016/j.accfor.2015.09.001
| Authors | Yekini, Liafisu Sina and Wisniewski, Tomasz |
|---|---|
| Abstract | This paper uses the tools of computational linguistics to analyze the qualitative part of the annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is measured and used to forecast future stock returns. We find that two of these indicators, capturing ‘activity’ and ‘realism’, predict subsequent price increases, even after controlling for a wide range of factors. Elevated values of these two linguistic variables, however, are not symptomatic of exacerbated risk. Consequently, investors are advised to peruse the annual report narratives, as they contains valuable information that may still not have been discounted in the prices. |
| Keywords | Content Analysis, Annual Reports, Stock Market Returns |
| Year | 2015 |
| Journal | Accounting Forum |
| Publisher | Taylor & Francis |
| ISSN | 0155-9982 |
| 1467-6303 | |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.accfor.2015.09.001 |
| Web address (URL) | http://hdl.handle.net/10545/623843 |
| hdl:10545/623843 | |
| Publication dates | 01 Dec 2015 |
| Publication process dates | |
| Deposited | 12 Jun 2019, 12:23 |
| Accepted | 19 Sep 2015 |
| Contributors | Coventry University and University of Leicester |
| File | File Access Level Open |
| File | File Access Level Open |
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