Stock market returns and the content of annual report narratives
用计算语言学分析英国上市公司年报的定性部分，发现其中‘活动’和‘现实感’两个语言指标能预测未来股价上涨，且不伴随风险增加，对投资者有参考价值。
This paper uses the tools of computational linguistics to analyze the qualitative part of annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is used to forecast future stock returns. We find that two of these indicators, capturing ‘activity’ and ‘realism’, predict subsequent price increases, even after controlling for a wide range of factors. Elevated values of these two linguistic variables, however, are not symptomatic of exacerbated risk. Consequently, investors are advised to peruse annual report narratives, as they contain valuable information that may not yet have been discounted in the prices.