Simultaneously Discovering and Quantifying Risk Types from Textual Risk Disclosures
提出一种改进的LDA主题模型，从企业文本风险披露中自动发现并量化风险类型，发现约三分之二的风险类型对投资者感知无显著影响，而系统性风险与流动性风险会提高投资者风险感知，非系统性风险则降低之。
Managers and researchers alike have long recognized the importance of corporate textual risk disclosures. Yet it is a nontrivial task to discover and quantify variables of interest from unstructured text. In this paper, we develop a variation of the latent Dirichlet allocation topic model and its learning algorithm for simultaneously discovering and quantifying risk types from textual risk disclosures. We conduct comprehensive evaluations in terms of both conventional statistical fit and substantive fit with respect to the quality of discovered information. Experimental results show that our proposed method outperforms all competing methods, and could find more meaningful topics (risk types). By taking advantage of our proposed method for measuring risk types from textual data, we study how risk disclosures in 10-K forms affect the risk perceptions of investors. Different from prior studies, our results provide support for all three competing arguments regarding whether and how risk disclosures affect the risk perceptions of investors, depending on the specific risk types disclosed. We find that around two-thirds of risk types lack informativeness and have no significant influence. Moreover, we find that the informative risk types do not necessarily increase the risk perceptions of investors—the disclosure of three types of systematic and liquidity risks will increase the risk perceptions of investors, whereas the other five types of unsystematic risks will decrease them. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2014.1930 . This paper was accepted by Alok Gupta, special issue on business analytics.