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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, Skolan för arkitektur och samhällsbyggnad (ABE), Fastigheter och byggande, Fastighetsekonomi och finans.ORCID-id: 0000-0002-3384-7166
IREBS International Real Estate Business School, University of Regensburg, Regensburg, Germany.
2024 (engelsk)Inngår i: European Journal of Finance, ISSN 1351-847X, E-ISSN 1466-4364, Vol. 30, nr 17, s. 2032-2058Artikkel i tidsskrift (Fagfellevurdert) 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.

sted, utgiver, år, opplag, sider
Informa UK Limited , 2024. Vol. 30, nr 17, s. 2032-2058
Emneord [en]
10-K filing, machine learning, Risk, structural topic model, textual analysis
HSV kategori
Identifikatorer
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
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QC 20250715

Tilgjengelig fra: 2025-07-15 Laget: 2025-07-15 Sist oppdatert: 2025-07-15bibliografisk kontrollert

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Steininger, Bertram I.

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Totalt: 71 treff
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