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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.
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Details
| Dokumentenart | Artikel | ||||
| Titel eines Journals oder einer Zeitschrift | The European Journal of Finance | ||||
| Verlag: | Taylor & Francis | ||||
|---|---|---|---|---|---|
| Seitenbereich: | S. 1-27 | ||||
| Datum | 15 Juli 2024 | ||||
| Institutionen | Wirtschaftswissenschaften > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienmanagement (Prof. Dr. Wolfgang Schäfers) Wirtschaftswissenschaften > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
| Identifikationsnummer |
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| Klassifikation |
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| Stichwörter / Keywords | Risk, textual analysis, machine learning, structural topic model, 10-K filing | ||||
| Dewey-Dezimal-Klassifikation | 300 Sozialwissenschaften > 330 Wirtschaft | ||||
| Status | Veröffentlicht | ||||
| Begutachtet | Ja, diese Version wurde begutachtet | ||||
| An der Universität Regensburg entstanden | Ja | ||||
| URN der UB Regensburg | urn:nbn:de:bvb:355-epub-587775 | ||||
| Dokumenten-ID | 58777 |
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