预见破产：基于年报文本传播价值不确定性的新视角

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-15 DOI:10.1016/j.frl.2025.107771

Tsung-Kang Chen , Yun Hao , Ting-Ru Chang , Yu-Chun Lin

{"title":"预见破产：基于年报文本传播价值不确定性的新视角","authors":"Tsung-Kang Chen , Yun Hao , Ting-Ru Chang , Yu-Chun Lin","doi":"10.1016/j.frl.2025.107771","DOIUrl":null,"url":null,"abstract":"<div><div>We examine whether incorporating the uncertainty of text-based communicative value (<em>U_TCV)</em> in annual reports enhances bankruptcy prediction models under machine learning settings using U.S. firm data from 1996 to 2018. Our findings show that <em>U_TCV</em> variables significantly improve prediction effectiveness beyond Barboza et al.’s (2017) financial variables and Chen et al.’s (2023) text-based communicative value (<em>TCV</em>) variables. Notably, <em>U_TCV</em> variables have greater enhancement on medium- to long-term predictions, contribute to explaining bankruptcy risk term structure, significantly reducing Type I error (misjudging bankrupt firms as non-bankrupt) while maintaining a low Type II error, and complementing the predictive power of <em>TCV</em> variables.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"84 ","pages":"Article 107771"},"PeriodicalIF":7.4000,"publicationDate":"2025-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Foreseeing bankruptcy: A novel perspective based on the uncertainty of text-based communicative value of annual reports\",\"authors\":\"Tsung-Kang Chen , Yun Hao , Ting-Ru Chang , Yu-Chun Lin\",\"doi\":\"10.1016/j.frl.2025.107771\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>We examine whether incorporating the uncertainty of text-based communicative value (<em>U_TCV)</em> in annual reports enhances bankruptcy prediction models under machine learning settings using U.S. firm data from 1996 to 2018. Our findings show that <em>U_TCV</em> variables significantly improve prediction effectiveness beyond Barboza et al.’s (2017) financial variables and Chen et al.’s (2023) text-based communicative value (<em>TCV</em>) variables. Notably, <em>U_TCV</em> variables have greater enhancement on medium- to long-term predictions, contribute to explaining bankruptcy risk term structure, significantly reducing Type I error (misjudging bankrupt firms as non-bankrupt) while maintaining a low Type II error, and complementing the predictive power of <em>TCV</em> variables.</div></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":\"84 \",\"pages\":\"Article 107771\"},\"PeriodicalIF\":7.4000,\"publicationDate\":\"2025-06-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1544612325010293\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612325010293","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们使用1996年至2018年的美国公司数据，研究了在年度报告中纳入基于文本的沟通价值（U_TCV）的不确定性是否增强了机器学习设置下的破产预测模型。我们的研究结果表明，U_TCV变量比Barboza等人（2017）的金融变量和Chen等人（2023）的基于文本的交际价值（TCV）变量显著提高了预测有效性。值得注意的是，U_TCV变量对中长期预测有更大的增强作用，有助于解释破产风险期限结构，显著减少I型误差（将破产企业误认为非破产企业），同时保持较低的II型误差，并补充了TCV变量的预测能力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Foreseeing bankruptcy: A novel perspective based on the uncertainty of text-based communicative value of annual reports

We examine whether incorporating the uncertainty of text-based communicative value (U_TCV) in annual reports enhances bankruptcy prediction models under machine learning settings using U.S. firm data from 1996 to 2018. Our findings show that U_TCV variables significantly improve prediction effectiveness beyond Barboza et al.’s (2017) financial variables and Chen et al.’s (2023) text-based communicative value (TCV) variables. Notably, U_TCV variables have greater enhancement on medium- to long-term predictions, contribute to explaining bankruptcy risk term structure, significantly reducing Type I error (misjudging bankrupt firms as non-bankrupt) while maintaining a low Type II error, and complementing the predictive power of TCV variables.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

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