Is the MD&A of US REITs informative? A textual sentiment study

IF 1.6 Q3 BUSINESS, FINANCE
M. Koelbl
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引用次数: 10

Abstract

This study examines whether language disclosed in the Management Discussion and Analysis (MD&A) of US Real Estate Investment Trusts (REITs) provides signals regarding future firm performance and thus generates a market response.,This research conducts textual analysis on a sample of approximately 6,500 MD&As of US REITs filed by the SEC between 2003 and 2018. Specifically, the Loughran and Mcdonald (2011) financial dictionary, and a custom dictionary for the real estate industry created by Ruscheinsky et al. (2018), are employed to determine the inherent sentiment, that is, the level of pessimistic or optimistic language for each filing. Thereafter, a panel fixed-effects regression enables investigating the relationship between sentiment and future firm performance, as well as the markets’ reaction.,The empirical results suggest that higher levels of pessimistic (optimistic) language in the MD&A predict lower (higher) future firm performance. Hereby, the use of a domain-specific real estate dictionary, namely that developed by Ruscheinsky et al. (2018) leads to superior results. Corresponding to the notion that the human psyche is affected more strongly by negative than positive news (Rozin and Royzman, 2001), the market responds solely to pessimistic language in the MD&A.,The results suggest that the market can benefit from textual analysis, as investigating the language in the MD&A reduces information asymmetries between US REIT managers and investors.,This is the first study to analyze exclusively US REITs, whether language in the MD&A is predictive of future firm performance and whether the market responds to textual sentiment.
美国房地产投资信托基金的管理层并购信息丰富吗?文本情感研究
本研究考察了美国房地产投资信托基金(REITs)管理层讨论与分析(MD&A)中披露的语言是否提供了有关未来公司业绩的信号,从而产生了市场反应。,本研究对美国证券交易委员会在2003年至2018年间提交的约6500份美国房地产投资信托的MD&a样本进行了文本分析。具体而言,Loughran和Mcdonald(2011)金融词典,以及Ruscheinsky等人创建的房地产行业自定义词典。(2018),用于确定固有情绪,即每个申请的悲观或乐观语言水平。此后,面板固定效应回归能够调查情绪与未来公司业绩之间的关系,以及市场的反应。,实证结果表明,MD&A中悲观(乐观)语言水平越高,预示着未来公司业绩越低(越高)。因此,使用特定领域的房地产词典,即Ruscheinsky等人开发的词典。(2018)导致了优越的结果。与人类心理受到负面新闻比正面新闻更强烈影响的观点相对应(Rozin和Royzman,2001),市场只对MD&A中的悲观语言做出反应。,结果表明,市场可以从文本分析中受益,因为调查MD&A中的语言可以减少美国REIT经理和投资者之间的信息不对称。,这是第一项专门分析美国REITs的研究,MD&A中的语言是否可以预测未来的公司业绩,以及市场是否对文本情绪做出反应。
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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