Munich Personal RePEc Archive

The Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns

Chouliaras, Andreas (2015): The Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_65585.pdf

Download (1MB) | Preview

Abstract

I perform textual analysis on 20,000 annual SEC 10-K Forms, for NYSE, NASDAQ and AMEX stocks, from 1992 until 2015. The textual analysis negative (pessimism) percentage per se, as used in the previous literature, is not a significant determinant of future stock returns. But, monthly portfolios based on the product of annual pessimism change and the previous period returns generate returns in excess of previous winners/losers. Nine months after the filing, the difference is higher than 5%, while it surpasses 7% twelve months after the filing. Negative (positive) previous returns along with positive pessimism changes lead to positive (negative) returns.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.