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Contribution Details

Type Bachelor's Thesis
Scope Discipline-based scholarship
Title Impact of Financial Statement Notes on stock returns - A sentiment analysis
Organization Unit
Authors
  • Julian Wiele Gago
Supervisors
  • Stefano Ramelli
  • Alexander Wagner
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 43
Date 2020
Abstract Text Managers use item 7 (MD&A) of 10-Q and K filings to express their diagnosis of future plans, which can't be described in the form of numerical data. This paper examines the tone of sentiment of this qualitative data section of financial statements, by conducting a textual analysis. The tone of sentiment is used as an indicator for the predictive power of the S&P 500 financial statements on CAPM adjusted excess stock returns. SEC's EDGAR moved obligatory financial disclosures from the physical to the digital era, making such information available for everybody. This thesis finds that measuring tone could predict returns.
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