This thesis finds that the text in annual and quarterly reports of U.S. listed companies is related to the cross-section of average stock and corporate bond price volatility and returns even after controlling for other known risk factors. This effect can be attributed to underreaction due to limited attention of analysts and investors. We show that the underreaction to the text in these reports can systematically be exploited. An investment strategy that buys stocks or bonds of companies with few changes compared to previous reports (‘non changers’) and sells companies with many changes (‘changers’) over the period 1997-2017 earns significant alpha in the equity market, and high yield and investment grade corporate bond markets.

Additional Metadata
Keywords corporate bonds, factor investing, SEC filings, stocks, text analysis
Thesis Advisor Velden, M. van de
Persistent URL hdl.handle.net/2105/50485
Series Econometrie
Citation
Hoen, R.J. 't. (2019, October 24). Stock and Corporate Bond Selection using Text. Econometrie. Retrieved from http://hdl.handle.net/2105/50485