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Koelbl, Marina ; Laschinger, Ralf ; Steininger, Bertram I. ; Schäfers, Wolfgang

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 typeArticle
Journal or Publication TitleThe European Journal of Finance
PublisherTaylor & Francis
Open Access TypeCC-License
Page Rangepp. 1-27
Date15 July 2024
Date of publication14 Aug 2024 06:40
InstitutionsBusiness, 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)
Identification Number
ValueType
10.1080/1351847X.2024.2364831DOI
Classification
NotationType
C45; C80; G14; G18; M41; R30Journal of Economics Literature Classification
KeywordsRisk, textual analysis, machine learning, structural topic model, 10-K filing
Dewey Decimal Classification300 Social sciences > 330 Economics
StatusPublished
RefereedYes, this version has been refereed
Created at the University of RegensburgYes
URN of the UB Regensburgurn:nbn:de:bvb:355-epub-587775
Item ID58777

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