A0847
Title: Forecasting realized equity volatility from text sentiment revealed by company filings
Authors: Massimo Guidolin - Universita' Commerciale Luigi Bocconi - BAFFI CAREFIN (Italy) [presenting]
Manuela Pedio - University of Bristol (United Kingdom)
Abstract: The aim is to analyze the effect of sentiment on realized equity return volatility in the week following the filing of a 10-K document by the company. We combine the terms in the word lists developed in a previous paper, using a market-based weighting scheme to summarize word frequencies into one sentiment measure. We find that negative, positive, assertive, and litigious tones in the 10-Ks filings have a significant impact on post-filing realized volatility. Our results also show that a market-based weighting scheme produces more reliable results compared to traditional, corpus-based approaches.
