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Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns
16 references·5 citing·37 second hopsampled
Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns (2019)Risk Factors That Matter: Textual Analysi…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Firm-Level Political Risk: Measurement and Effects* (2019)Firm-Level Political Risk: Me…Textual Analysis in Accounting and Finance: A Survey (2016)Textual Analysis in Accountin…Text-Based Network Industries and Endogenous Product Differentiation (2016)Text-Based Network Industries…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Does Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A five-factor asset pricing model (2014)A five-factor asset pricing m…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…The Value Premium (2005)The Value PremiumShort sales, institutional investors and the cross-section of stock returns (2005)Short sales, institutional in…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Thematic Scoring: Quantifying Contextual Narratives using Language Models (2025)Thematic Scoring: Quantifying…Does Finance Benefit Society? A Language Embedding Approach (2025)Does Finance Benefit Society?…Corporate risk and financial asset holdings (2023)Corporate risk and financial …Why Do Managers Disclose Risks Accurately? Textual Analysis, Disclosures, and Risk Exposures (2021)Why Do Managers Disclose Risk…Firm-Level Risk Exposures and Stock Returns in the Wake of COVID-19 (2020)Firm-Level Risk Exposures and…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risk, Return, and Equilibrium: Empirical Tests (1973)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Thirteen Ways to Look at the Correlation Coefficient (1988)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)When Is a Liability Not a Liability? 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(2018)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2016Textual Analysis in Accounting and Finance: A Survey2,279 cited
  • 2016Text-Based Network Industries and Endogenous Product Differentiation2,114 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 2019Firm-Level Political Risk: Measurement and Effects*1,492 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 2005The Value Premium1,334 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 2005Short sales, institutional investors and the cross-section of stock returns

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  • 2025Thematic Scoring: Quantifying Contextual Narratives using Language Models1 cited