It pays to partner with a firm that writes annual reports well

Baxamusa et al. 2018

Readability
Fog_partner
Fog_firm

Ln(assets)_firm, ROA_firm, Debt-to-assets_firm,

Market-to-book_firm, Intangibles_firm,
R&D_firm, R&D dummy_firm, CAR (-2,+2)_firm
Num_of_bus_seg_firm, Stock_volatility_firm,
Social_capital_firm, Alliances_exp_firm,
Number_of_analyst_firm,
Analyst_Est._Dispersion_firm

Ln(assets)_partner, ROA_part, Debt-to-

assets_partner, Market-to-book_partner,
Intangibles_partner, R&D_partner, R&D
dummy_partner, Num_of_bus_seg_partner,
Stock_volatility_partner, Social_capital_partner,
Alliances_exp_partner, Alliance_exp_together,
Number_of_analyst_partner,
Analyst_Est._Dispersion_partner,
Source: Annual Repots
Alliance type indicators, Industry indicators, Year
indicators
 Qualitative Management Disclosures and Market Sentiment
Bochkay and Dimitrov (2014)

1. MgmtOptimism
2. MgmtTone, IdioTone,
MgmtOptimism

1. MgmtOptimism, InvestSent,
SP Earnings, Term Spread, 1. SP Returnt+12
Default Spread, GDP 2. AnnReturn
Growth, Log PPI

2. InvestSent, Earnings,
QtrReturn, Accruals, Size, MTB,
EarnVol, RetVol, SI, FirmAge,
DLW Source: Quarterly and Annual Reports
Dictionary: Loughran and McDonald
Earnings conference calls and stock returns: The incremental informativeness
of textual tone
Price et al. (2012)
H-Tone
Intro H-tone
Q&A H-tone
Intro Count
Q&A Count

Post filing return

volatility
Size
Book to Market value
ROA
Leverage
Volume
Volatality
No of Analyst Source: Earning Conference Calls
Declaration DIV Dictionary: Harvard IV, Henry
 The Use of Word Lists in Textual Analysis
Loughran and McDonald (2015)
Diction Optimism
Diction Pessimism
Diction tone
LM Positive
LM Negative

Post filing return

volatility

Log(price)
Log(market value)
Prefiling RMSE
Prefiling Alpha
Log Filing date abnormal returns Source: 10k Filings
NASDAQ dummy Dictionary: Diction, Loughran and
McDonald
 Measuring Readability in Financial Disclosures
Loughran and McDonald (2014)

Log(File Size)
Fog Index
Average words per sentence
Percent complex words

Root Mean Square

Log(size) Error
Log(book-to-market)
Prefiling RMSE
Prefiling Alpha
Filing period abnormal returns
NASDAQ dummy
Source: 10k Filings
When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks
Loughran and McDonald (2011)

Negative Tone (HIV)

Negative Tone (LM)

Stock Returns
Log(size)
Log(book-to-market)
Log( share turnover)
Pre_FFAlpha
Institutional ownership
NASDAQ dummy Source: 10k Filings
Dictionary: Harvard IV
Loughran and McDonald
Do Stock Market Investors Understand the Risk Sentiment of Corporate
Annual Reports?
Li (2006)

Δrisk Sentiment

Ln Book To Market Stock Returns

LnMarket Value Equity
Return On Equity
Accruals
Assets Growth
Dividend To Book value
Ohlson Bankruptcy Score
Piotroski Fundamental Strenth Source: Annual Reports
Stock Returns t-1 Dictionary: Targeted Words “risk” &
“uncertain”
Impact of Social Media and News Media on Financial Markets
Hu and Tripathi (2016)

Positive News
Negative News
Bullishness
Agreement
Returns (ti)
Returns (ti, t+1)
Returns (ti, t+2)

Log (Market Cap)

Log (Stock Index)
Log (Messages)
Returns i,t-1
Source: Earning Conference Calls
Dictionary: Loughran and McDonald
 The benefits of specific risk-factor disclosures
Hope et al. (2016)

Specificity 10K
Amount
Risk Words
Fog
Total Length

|CAR (-1, 1) |

Proprietary Cost, D-earnings,

Accrual, Size, Book to Market,
Past Loss, Leverage, Return
Volatility, Litigation, Segments,
Segments,
Forecast Missing, File Date, Source: 10k Filings
Num Items, |CAR-1,1|EA. Machine Learning
ARE INVESTORS INFLUENCED BY HOW EARNINGS PRESS RELEASES ARE WRITTEN?
Henry (2008)
TONE (NET)
TONE_Squared
Words_AL
Words_AL*UE
Numerical
Numerical *UE
Complex CAR (1, 1)
Complex*UE

Ln Market Value
Unexpected Earnings
Market to Book
Source: Earning Conference Calls
Net Income >0
Dictionary: Henry
Media Content and Stock Returns: The Predictive Power of Press
Ferguson et al. (2015)

Positive Tone
Negative Tone

Cumulative Abnormal
CAR (0,0)
Returns (1, 1)
CAR (-1,-1)
CAR (-2,-2)
CAR (-30,-3)
CAR (-252,-31)
SIZE
Book To Market
Turnover Source: News media UK
Dictionary: Loughran and McDonald
The Incremental Information Content of Tone Change in Management Discussion and
Analysis
Feldman et al. (2008)
Positive Tone
Negative Tone
Positive-Negative

Buy Holding
Returns (-1, 1)

Accruals
Earning Surprise
Operating Cash Flow

Source: Management Discussion &

Analysis
Dictionary: Harvard IV
Earnings Conference Call Content and Stock Price: The Case of REITs
Doran et al. (2010)

Intro Tone
Q&A Tone
Intro Count
Q&A Count

Size CAR (0, 1)

Book to Market
Return On Assets
Leverage
Volatility
Earning Surprise
Analyst Source: Earning Conference Calls
Dictionary: Harvard IV, Henry,
Loughran and McDonald
Conference Call Tone and Stock Returns: Evidence from the Stock Exchange of
Hong Kong
Brockman et al. (2017)
TONE
WORDSIZE
WORDNUM

SIZE CAR (0, 1)

Book to Market
Return On Assets
Leverage
Returns Volatility (-100, -10)
Earning Surprise
CAR (-60, -2)
Source: Earning Conference Calls
Dictionary: Loughran and McDonald