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Revealing the risk perception of investors using machine learning
Article
Koelbl, Marina, Laschinger, Ralf
, Steininger, Bertram I.
and Schäfers, Wolfgang
(2024)
Revealing the risk perception of investors using machine learning.
The European Journal of Finance, pp. 1-27.
DOI to cite this document: 10.5283/epub.58777
Abstract
Corporate disclosures convey crucial information to financial market participants. While machine learning algorithms are commonly used to extract this information, they often overlook the use of idiosyncratic terminology and industry-specific vocabulary within documents. This study uses an unsupervised machine learning algorithm, the Structural Topic Model, to overcome these issues. Our findings ...
Corporate disclosures convey crucial information to financial market participants. While machine learning algorithms are commonly used to extract this information, they often overlook the use of idiosyncratic terminology and industry-specific vocabulary within documents. This study uses an unsupervised machine learning algorithm, the Structural Topic Model, to overcome these issues. Our findings illustrate the link between machine-extracted risk factors discussed in corporate disclosures (10-Ks) and the corresponding pricing behavior by investors, focusing on a previously unexplored US REIT sample from 2005 to 2019. Surprisingly, when disclosed, most risk factors counterintuitively lead to a decrease in return volatility. This resolution of uncertainties surrounding known risk factors or the provision of additional facts about these factors contributes valuable insights to the financial market.
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Details
| Item type | Article | ||||
| Journal or Publication Title | The European Journal of Finance | ||||
| Publisher | Taylor & Francis | ||||
| Open Access Type | CC-License | ||||
| Page Range | pp. 1-27 | ||||
| Date | 15 July 2024 | ||||
| Date of publication | 14 Aug 2024 06:40 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienmanagement (Prof. Dr. Wolfgang Schäfers) Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
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| Classification |
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| Keywords | Risk, textual analysis, machine learning, structural topic model, 10-K filing | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-587775 | ||||
| Item ID | 58777 |
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