Financial Sentiment Index with Natural Language Processing

Atak A.

42nd EBES CONFERENCE - LISBON , Lisbon, Portekiz, 12 - 14 Ocak 2023, ss.1-19

  • Yayın Türü: Bildiri / Özet Bildiri
  • Basıldığı Şehir: Lisbon
  • Basıldığı Ülke: Portekiz
  • Sayfa Sayıları: ss.1-19
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

In this paper, we aim to create a financial sentiment index by investigating the company’s voluntary information disclosures using 10-K reports. We extract relevant financial information for sentiment analysis through Natural Language Processing (NLP). We measure strategy-related disclosures, and their cross-sectional variation and classify report content into generic sections using synonym lists divided into four main categories according to their liquidity risk profile, risk positions, intra-annual information, and their exposure to risk. We create an adequate analytical tool and a financial dictionary to depict the importance of granular financial disclosure for investors to identify correctly the risk-taking behaviour and hence make the aggregated effects traceable.