Not logged in.
Quick Search - Contribution
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 |
|
Supervisors |
|
Language |
|
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. |
Export | BibTeX |