kth.sePublications KTH
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Revealing the risk perception of investors using machine learning
IREBS International Real Estate Business School, University of Regensburg, Regensburg, Germany.
Department of Finance, University of Regensburg, Regensburg, Germany.
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management, Real Estate Economics and Finance.ORCID iD: 0000-0002-3384-7166
IREBS International Real Estate Business School, University of Regensburg, Regensburg, Germany.
2024 (English)In: European Journal of Finance, ISSN 1351-847X, E-ISSN 1466-4364, Vol. 30, no 17, p. 2032-2058Article in journal (Refereed) Published
Abstract [en]

Corporate disclosures convey crucial information to financial market participants. While machine learning algorithms are commonly used to extract this information, they often overlook the use of idiosyncratic terminology and industry-specific vocabulary within documents. This study uses an unsupervised machine learning algorithm, the Structural Topic Model, to overcome these issues. Our findings illustrate the link between machine-extracted risk factors discussed in corporate disclosures (10-Ks) and the corresponding pricing behavior by investors, focusing on a previously unexplored US REIT sample from 2005 to 2019. Surprisingly, when disclosed, most risk factors counterintuitively lead to a decrease in return volatility. This resolution of uncertainties surrounding known risk factors or the provision of additional facts about these factors contributes valuable insights to the financial market.

Place, publisher, year, edition, pages
Informa UK Limited , 2024. Vol. 30, no 17, p. 2032-2058
Keywords [en]
10-K filing, machine learning, Risk, structural topic model, textual analysis
National Category
Business Administration
Identifiers
URN: urn:nbn:se:kth:diva-367201DOI: 10.1080/1351847X.2024.2364831ISI: 001271098300001Scopus ID: 2-s2.0-85198500830OAI: oai:DiVA.org:kth-367201DiVA, id: diva2:1984301
Note

QC 20250715

Available from: 2025-07-15 Created: 2025-07-15 Last updated: 2025-07-15Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Steininger, Bertram I.

Search in DiVA

By author/editor
Steininger, Bertram I.
By organisation
Real Estate Economics and Finance
In the same journal
European Journal of Finance
Business Administration

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 62 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf