Automatic analysis of financial event phrases and keywords in form 8-K disclosures

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

It is generally accepted that there are three different types of financial information: information in past stock prices, information that is available to all the public, and information that is both available to the public and available privately to insiders [1-4]. This study looks at publicly-available information in Form 8K disclosures filed on the Securities and Exchange Commission's EDGAR system. We developed a prototype financial event phrase (FEP) recognizer and automatically classified a small sample of 8-K disclosures by likely share price response, using automatically-recognized FEPs and hand-chosen keywords as disclosure features. We used C4.5 and SVM-Light for classification but found that C4.5 was more successful overall. In one experiment, we found that C4.5 was able to correctly classify 63.2% of disclosures that had a positive share price reaction around the disclosure filing date, as against 58.2% at chance.

Original languageEnglish
Title of host publicationProceedings of the 10th Terminology and Knowledge Engineering Conference
Subtitle of host publicationNew Frontiers in the Constructive Symbiosis of Terminology and Knowledge Engineering, TKE 2012
Pages291-305
Number of pages15
Publication statusPublished - 2012
Event10th Terminology and Knowledge Engineering Conference: New Frontiers in the Constructive Symbiosis of Terminology and Knowledge Engineering, TKE 2012 - Madrid, Spain
Duration: 19 Jun 201222 Jun 2012

Publication series

NameProceedings of the 10th Terminology and Knowledge Engineering Conference: New Frontiers in the Constructive Symbiosis of Terminology and Knowledge Engineering, TKE 2012

Conference

Conference10th Terminology and Knowledge Engineering Conference: New Frontiers in the Constructive Symbiosis of Terminology and Knowledge Engineering, TKE 2012
Country/TerritorySpain
CityMadrid
Period19/06/1222/06/12

Keywords

  • Classification
  • Content analysis
  • Disclosures
  • Financial events
  • Keywords
  • Phrases
  • Share price reaction

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