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Title: Stock Market Returns and the Content of Annual Report Narratives
Authors: Wisniewski, Tomasz Piotr
Yekini, L. S.
First Published: 9-Oct-2015
Publisher: Elsevier
Citation: Accounting Forum, 2015 (In press)
Abstract: This paper uses the tools of computational linguistics to analyze the qualitative part of annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is used to forecast future stock returns. We find that two of these indicators, capturing ‘activity’ and ‘realism’, predict subsequent price increases, even after controlling for a wide range of factors. Elevated values of these two linguistic variables, however, are not symptomatic of exacerbated risk. Consequently, investors are advised to peruse annual report narratives, as they contain valuable information that may not yet have been discounted in the prices.
DOI Link: 10.1016/j.accfor.2015.09.001
ISSN: 0155-9982
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2015 Elsevier Ltd. All rights reserved. This manuscript version is made available after the end of the embargo period under the CC-BY-NC-ND 4.0 license
Description: The file associated with this record is under a 36-month embargo from publication in accordance with the publisher's self-archiving policy, available at The full text may be available in the publisher links provided above.
Appears in Collections:Published Articles, School of Management

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