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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: SEC Form 10-K, Textual Analysis, Financial Sentiment, NYSE, NASDAQ, AMEX (NYSE MKT)
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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