Changes in Risk Factor Disclosures and the Variance Risk Premium
通过文本分析公司10-K文件中的风险因子增减，发现新披露的风险信号会降低市场对企业风险的不确定性，以方差风险溢价为代理变量。
ABSTRACT This paper examines how changes in risk disclosures affect uncertainty about risk. We measure changes in risk disclosures using the addition and removal of individual risk factors to firms’ 10-K filings, identified via textual analysis of the risk factors section. Our market outcome is the variance risk premium (VRP), which captures the market’s pricing of uncertainty about firm risk. Following recent theoretical predictions, we predict and empirically document that newly disclosed signals of risk factor exposure—reflected in added and removed individual risk factors—decrease the uncertainty surrounding firm risk, as proxied via the VRP. We further confirm that individual risk factors offer incremental insights compared with alternative textual risk measures. Collectively, our findings suggest that textually evaluating individual risk factors reveals information about the uncertainty regarding firm risk. Data Availability: Data are available from the public sources cited in the text. JEL Classifications: G18; G32; M40.