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.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_66951.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

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.