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

Revealing the risk perception of investors using machine learning

Koelbl, Marina, Laschinger, Ralf , Steininger, Bertram I. und Schäfers, Wolfgang (2024) Revealing the risk perception of investors using machine learning. The European Journal of Finance, S. 1-27.

Veröffentlichungsdatum dieses Volltextes: 14 Aug 2024 06:40
Artikel
DOI zum Zitieren dieses Dokuments: 10.5283/epub.58777


Zusammenfassung

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.



Beteiligte Einrichtungen


Details

DokumentenartArtikel
Titel eines Journals oder einer ZeitschriftThe European Journal of Finance
Verlag:Taylor & Francis
Seitenbereich:S. 1-27
Datum15 Juli 2024
InstitutionenWirtschaftswissenschaften > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienmanagement (Prof. Dr. Wolfgang Schäfers)
Wirtschaftswissenschaften > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Identifikationsnummer
WertTyp
10.1080/1351847X.2024.2364831DOI
Klassifikation
NotationArt
C45; C80; G14; G18; M41; R30Journal of Economics Literature Classification
Stichwörter / KeywordsRisk, textual analysis, machine learning, structural topic model, 10-K filing
Dewey-Dezimal-Klassifikation300 Sozialwissenschaften > 330 Wirtschaft
StatusVeröffentlicht
BegutachtetJa, diese Version wurde begutachtet
An der Universität Regensburg entstandenJa
URN der UB Regensburgurn:nbn:de:bvb:355-epub-587775
Dokumenten-ID58777

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