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Abstract

I perform textual analysis on 20,000 annual SEC 10-K Forms, for NYSE, NASDAQ and AMEX stocks, from 1992 until 2015.
The textual analysis negative pessimism percentage per se, as used in the previous literature, is not a significant determinant of future stock returns.
But, monthly portfolios based on the product of annual pessimism change and the previous period returns generate returns in excess of previous winners-losers.
Nine months after the filing, the difference is higher than 5%, while it surpasses 7% twelve months after the filing.
Negative positive previous returns along with positive pessimism changes lead to positive negative returns.



Item Type: MPRA Paper -

Original Title: The Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns-

Language: English-

Keywords: SEC Form 10-K, Textual Analysis, Financial Sentiment, NYSE, NASDAQ, AMEX NYSE MKT-

Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - GeneralG - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading-





Autor: Chouliaras, Andreas

Fuente: https://mpra.ub.uni-muenchen.de/66951/



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