在巴西证券交易所上市的巴西公司年报中的情绪分析

IF 0.8 4区农林科学 Q3 AGRONOMY

Biotechnologie Agronomie Societe et Environnement Pub Date : 2016-03-11 DOI:10.4013/BASE.2016.131.04

Marcelo S. Pagliarussi, Marcelo Otone Aguiar, Fernando Caio Galdi

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引用次数: 9

摘要

我们调查了巴西上市公司样本发布的年度报告基调与市场变量(异常回报、交易量和价格波动)之间的关系。使用情感分析技术测量音调(Liu et al.， 2005;刘,2010)。在Loughran和McDonald(2011)中，我们开发并使用了葡萄牙语中积极、消极、诉讼、不确定性相关和情态词汇的列表来评估年度报告的语气。利用1997年至2009年829份年度报告的样本，我们观察到年度报告的语气与巴西股市变量之间存在弱关联。此外，我们考虑了巴西(1997-2007)GAAP变化之前的子样本，我们的结果保持不变。与其他使用美国数据的研究相反，我们发现巴西公司发布的年度报告的语气不利于估计回报。关键词:情感分析，文本情感，积极词，消极词，年报。

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SENTIMENT ANALYSIS IN ANNUAL REPORTS FROM BRAZILIAN COMPANIES LISTED AT THE BM&FBOVESPA

We investigated the association between the tone of annual reports issued by a sample of listed Brazilian firms and market variables (abnormal returns, trading volume and price volatility). The tone was measured using sentiment analysis techniques (Liu et al., 2005; Liu, 2010). As in Loughran and McDonald (2011), we developed and used lists of positive, negative, litigious, uncertainty-related and modal words in Portuguese to assess the tone of annual reports. Using a sample of 829 annual reports from 1997 to 2009, we observed a weak association between the tone of annual reports and stock market variables in Brazil. Additionally, we considered a sub-sample prior to GAAP changes in Brazil (1997-2007) and our results are maintained. Contrary to other studies using data from the United States, we found that the tone of annual reports released by Brazilian firms is not conducive to estimating returns. Keywords : sentiment analysis, textual sentiment, positive words, negative words, annual reports.

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来源期刊

Biotechnologie Agronomie Societe et Environnement AGRONOMY-ENVIRONMENTAL SCIENCES

CiteScore

1.60

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： BASE publishes original papers in the fields of life sciences: environmental science and technology, forest and natural space management, agronomical science, and chemistry and bio-industries.