Is Positive Sentiment in Corporate Annual Reports Informative? Evidence from Deep Learning

Mehran Azimi () and Anup Agrawal

2019 Papers from Job Market Papers

Abstract: We use a novel text classification approach from deep learning to more accurately measure sentiment in a large sample of 10-Ks. In contrast to most prior literature, we find that positive, and negative, sentiment predicts abnormal return and abnormal trading volume around 10-K filing date and future firm fundamentals and policies. Our results suggest that the qualitative information contained in corporate annual reports is richer than previously found. Both positive and negative sentiments are informative when measured accurately, but they do not have symmetric implications, suggesting that a net sentiment measure advocated by prior studies would be less informative.

JEL-codes: C81 G10 G14 G30 (search for similar items in EconPapers)
Date: 2019-08-21
New Economics Papers: this item is included in nep-big and nep-cmp
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