Decoding risk sentiment in 10-K filings: Predictability for U.S. stock indices

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-05-06 DOI:10.1016/j.frl.2025.107472

Nicolás Magner , Pablo A. Henríquez , Aliro Sanhueza

引用次数: 0

Abstract

This study demonstrates that the tone of the risk factors section in the 10-K reports of U.S. public companies predicts returns on major U.S. stock indices. We created five tone indicators using text mining, the Loughran-McDonald dictionary, and AI-calibrated alternatives (GPT-3.5-turbo-0125, GPT-4, GPT-4o, and GPT-4o-mini). These indicators showed significant predictive power for weekly returns, with optimism correlated with higher returns. Tone measurements based on GPT-4 outperformed the others in terms of predictive accuracy. We analyzed the Loughran-McDonald dictionary’s utility and highlighted the underexplored risk factors section, offering novel insights into sentiment analysis and financial forecasting.

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解读10-K文件中的风险情绪：美国股指的可预测性

本研究表明，美国上市公司10-K报告中风险因素部分的基调可以预测美国主要股指的回报。我们使用文本挖掘、Loughran-McDonald词典和人工智能校准的替代品（GPT-3.5-turbo-0125、GPT-4、gpt - 40和gpt - 40 -mini）创建了五个音调指标。这些指标对周收益具有显著的预测能力，乐观与高收益相关。基于GPT-4的音调测量在预测准确性方面优于其他方法。我们分析了Loughran-McDonald词典的实用性，并强调了未被开发的风险因素部分，为情绪分析和财务预测提供了新的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance