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
AuthorsYekini, 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.

KeywordsContent Analysis, Annual Reports, Stock Market Returns
Year2015
JournalAccounting Forum
PublisherTaylor & Francis
ISSN0155-9982
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 dates01 Dec 2015
Publication process dates
Deposited12 Jun 2019, 12:23
Accepted19 Sep 2015
ContributorsCoventry University and University of Leicester
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