Professional Documents
Culture Documents
Readability
Fog_partner
Fog_firm
1. MgmtOptimism
2. MgmtTone, IdioTone,
MgmtOptimism
1. MgmtOptimism, InvestSent,
SP Earnings, Term Spread, 1. SP Returnt+12
Default Spread, GDP 2. AnnReturn
Growth, Log PPI
2. InvestSent, Earnings,
QtrReturn, Accruals, Size, MTB,
EarnVol, RetVol, SI, FirmAge,
DLW Source: Quarterly and Annual Reports
Dictionary: Loughran and McDonald
Earnings conference calls and stock returns: The incremental informativeness
of textual tone
Price et al. (2012)
H-Tone
Intro H-tone
Q&A H-tone
Intro Count
Q&A Count
Log(price)
Log(market value)
Prefiling RMSE
Prefiling Alpha
Log Filing date abnormal returns Source: 10k Filings
NASDAQ dummy Dictionary: Diction, Loughran and
McDonald
Measuring Readability in Financial Disclosures
Loughran and McDonald (2014)
Log(File Size)
Fog Index
Average words per sentence
Percent complex words
Stock Returns
Log(size)
Log(book-to-market)
Log( share turnover)
Pre_FFAlpha
Institutional ownership
NASDAQ dummy Source: 10k Filings
Dictionary: Harvard IV
Loughran and McDonald
Do Stock Market Investors Understand the Risk Sentiment of Corporate
Annual Reports?
Li (2006)
Δrisk Sentiment
Positive News
Negative News
Bullishness
Agreement
Returns (ti)
Returns (ti, t+1)
Returns (ti, t+2)
Specificity 10K
Amount
Risk Words
Fog
Total Length
|CAR (-1, 1) |
Ln Market Value
Unexpected Earnings
Market to Book
Source: Earning Conference Calls
Net Income >0
Dictionary: Henry
Media Content and Stock Returns: The Predictive Power of Press
Ferguson et al. (2015)
Positive Tone
Negative Tone
Cumulative Abnormal
CAR (0,0)
Returns (1, 1)
CAR (-1,-1)
CAR (-2,-2)
CAR (-30,-3)
CAR (-252,-31)
SIZE
Book To Market
Turnover Source: News media UK
Dictionary: Loughran and McDonald
The Incremental Information Content of Tone Change in Management Discussion and
Analysis
Feldman et al. (2008)
Positive Tone
Negative Tone
Positive-Negative
Buy Holding
Returns (-1, 1)
Accruals
Earning Surprise
Operating Cash Flow
Intro Tone
Q&A Tone
Intro Count
Q&A Count