Related papers: Bankruptcy prediction using disclosure text featur…
Predicting the exit (e.g. bankrupt, acquisition, etc.) of privately held companies is a current and relevant problem for investment firms. The difficulty of the problem stems from the lack of reliable, quantitative and publicly available…
In a continuous-time setting we investigate how the management of a firm controls a dynamic choice between two generic voluntary disclosure decision rules: one with full and transparent disclosure termed $\it{candid}$, the other, termed…
Following the financial crisis of the late 2000s, policy makers have shown considerable interest in monitoring financial stability. Several central banks now publish indices of financial stress, which are essentially based upon market…
We develop a resource-efficient methodology for measuring economic outlook in news text that combines document embeddings with synthetic training data generated by large language models. Applied to 27 million news articles, the resulting…
Academics and practitioners have studied over the years models for predicting firms bankruptcy, using statistical and machine-learning approaches. An earlier sign that a company has financial difficulties and may eventually bankrupt is…
People vary in their ability to make accurate predictions about the future. Prior studies have shown that some individuals can predict the outcome of future events with consistently better accuracy. This leads to a natural question: what…
The use of robo-readers to analyze news texts is an emerging technology trend in computational finance. In recent research, a substantial effort has been invested to develop sophisticated financial polarity-lexicons that can be used to…
Climate change has increased demands for transparent and comparable corporate climate disclosures, yet imitation and symbolic reporting often undermine their value. This paper develops a multidimensional framework to assess disclosure…
Written language is complex. A written text can be considered an attempt to convey a meaningful message which ends up being constrained by language rules, context dependence and highly redundant in its use of resources. Despite all these…
Credit risk default prediction remains a cornerstone of risk management in the financial industry. The task involves estimating the likelihood that a borrower will fail to meet debt obligations, an objective critical for lending decisions,…
The goal of differentially private text obfuscation is to obfuscate, or "perturb", input texts with Differential Privacy (DP) guarantees, such that the private output texts are quantifiably indistinguishable from the originals. While…
This study evaluates large language models as estimable classifiers and clarifies how modeling choices shape downstream measurement error. Revisiting the Economic Policy Uncertainty index, we show that contemporary classifiers substantially…
Risk categorization in 10-K risk disclosures matters for oversight and investment, yet no public benchmark evaluates unsupervised topic models for this task. We present GRAB, a finance-specific benchmark with 1.61M sentences from 8,247…
Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…
Mining financial text documents and understanding the sentiments of individual investors, institutions and markets is an important and challenging problem in the literature. Current approaches to mine sentiments from financial texts largely…
Methods and applications are inextricably linked in science, and in particular in the domain of text-as-data. In this paper, we examine one such text-as-data application, an established economic index that measures economic policy…
We examine how textual features in earnings press releases predict stock returns on earnings announcement days. Using over 138,000 press releases from 2005 to 2023, we compare traditional bag-of-words and BERT-based embeddings. We find that…
Context: Financial system stability is determined by the condition of the banking system. A bank failure can destroy the stability of the financial system, as banks are subject to systemic risk, affecting not only individual banks but also…
Detecting disclosures of individuals' employment status on social media can provide valuable information to match job seekers with suitable vacancies, offer social protection, or measure labor market flows. However, identifying such…
The advent of the era of big data provides new ideas for financial distress prediction. In order to evaluate the financial status of listed companies more accurately, this study establishes a financial distress prediction indicator system…