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題名 10-K財報情緒與多因子模型對超額報酬之影響：以美國股市為例
The impact of form 10-K sentiment and multi-factor model on excess return - Evidence from US stock market作者 蔡承恩
Tsai, Cheng-En貢獻者 林士貴<br>江彌修
Lin, Shih-Kuei<br>Chiang, Mi-Hsiu
蔡承恩
Tsai, Cheng-En關鍵詞 情感分析
因子模型
VADER
Sentiment analysis
Factor model
VADER日期 2020 上傳時間 5-Feb-2020 17:31:18 (UTC+8) 摘要 過去因子模型對於超額報酬之探討主要著重於公司營運與財務指標，然而，近年來隨著市場中的非結構化資料逐漸增加，如何透過分析各種不同的資料引入更多資訊成為重大議題，本研究為探討文字資料運用於財務領域的成效，使用情感分析技術VADER，分析美國公司10-K財報中的文字資訊，計算出財報情緒分數，並驗證若以該分數做為建構投資組合之標準能否獲取超額報酬，並建立基於財報情緒分數之情緒因子，加入Fama-French三因子模型，使用此四因子模型針對美國股市進行超額報酬橫斷面變異進行分析。實證結果顯示使用財報情緒分數做為建立投資組合之標準在Fama-French三因子模型下確實能帶來異常報酬，尤其以負面情緒分數做為標準會有更明顯的趨勢，而更進一步使用基於財報情緒分數做為基準建構的情緒因子，更能使因子模型的解釋力上升。
In the past, the discussion of excess returns in factor models mainly focused on company operations and financial indicators. However, in recent years, as unstructured data has gradually increased, how to introduce more information through analysis of various data has become a major issue. In order to discuss the effectiveness of the application of text data in the financial field, we use VADER to analyze the text information in the 10-K financial reports of American companies, calculate the financial report sentiment score, and verify whether the score can be used as the criterion for constructing an investment portfolio and obtain excess returns. Further, we establish an emotional factor based on financial report sentiment scores and combine with Fama-French three-factor model, and use this four-factor model to analyze the cross-sectional variation of excess returns for the US stock market. Empirical results show that using financial report sentiment scores as the criterion for establishing portfolios can indeed bring abnormal returns under the Fama-French three-factor model. Especially with negative sentiment, we can see a clear trend with excess returns. And using the form 10-K sentiment based factor can improve the explanatory power of the multi-factor model.參考文獻 Asness, C., and Frazzini, A. (2013). The devil in HML`s details. The Journal of Portfolio Management, 39(4), 49-68.Ball, R. (1978). Anomalies in relationships between securities` yields and yield-surrogates. Journal of Financial Economics, 6(2-3), 103-126.Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.Basu, S. (1983). The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12(1), 129-156.Black, F., Jensen, M. C., and Scholes, M. (1972). The capital asset pricing model: Some empirical tests. Studies in the theory of capital markets, 81(3), 79-121.Bradley, M. M., and Lang, P. J. (1999). Affective norms for English words (ANEW): Instruction manual and affective ratings.Campbell, J. L., Chen, H., Dhaliwal, D. S., Lu, H.-m., and Steele, L. B. (2014). The information content of mandatory risk factor disclosures in corporate filings. Review of Accounting Studies, 19(1), 396-455. doi:10.1007/s11142-013-9258-3Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82. doi:10.1111/j.1540-6261.1997.tb03808.xCowles 3rd, A. (1933). Can stock market forecasters forecast? Econometrica: Journal of the Econometric Society, 309-324.Fama, E. F., and French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465. doi:10.1111/j.1540-6261.1992.tb04398.xFama, E. F., and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. doi:10.1016/0304-405X(93)90023-5Fama, E. F., and French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, 18(3), 25-46. doi:10.1257/0895330042162430Gentzkow, M., Kelly, B., and Taddy, M. (2019). Text as Data. Journal of Economic Literature, 57(3), 535-574. doi:10.1257/jel.20181020Hutto, C. J., and Gilbert, E. (2014). Vader: A parsimonious rule-based model for sentiment analysis of social media text. Paper presented at the Eighth international AAAI conference on weblogs and social media.Kothari, S. P., Li, X., and Short, J. E. (2009). The Effect of Disclosures by Management, Analysts, and Business Press on Cost of Capital, Return Volatility, and Analyst Forecasts: A Study Using Content Analysis. The Accounting Review, 84(5), 1639-1670. Retrieved from www.jstor.org/stable/27784235Li, F. (2006). Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports? SSRN Electronic Journal. doi:10.2139/ssrn.898181Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37. doi:10.2307/1924119Loughran, T., and McDonald, B. (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10‐Ks. The Journal of Finance, 66(1), 35-65.Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.Pennebaker, J. W., Francis, M. E., and Booth, R. J. (2001). Linguistic inquiry and word count: LIWC 2001. Mahway: Lawrence Erlbaum Associates, 71(2001), 2001.Reinganum, M. R. (1981). Misspecification of capital asset pricing: Empirical anomalies based on earnings` yields and market values. Journal of Financial Economics, 9(1), 19-46.Schwert, G. W. (2003). Chapter 15 Anomalies and market efficiency. In Handbook of the Economics of Finance (Vol. 1, pp. 939-974): Elsevier.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.Stone, P. J., Dunphy, D. C., and Smith, M. S. (1966). The general inquirer: A computer approach to content analysis.Tetlock, P. C. (2007). Giving Content to Investor Sentiment: The Role of Media in the Stock Market. The Journal of Finance, 62(3), 1139-1168. doi:10.1111/j.1540-6261.2007.01232.x 描述 碩士
國立政治大學
金融學系
106352014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106352014 資料類型 thesis dc.contributor.advisor 林士貴<br>江彌修 zh_TW dc.contributor.advisor Lin, Shih-Kuei<br>Chiang, Mi-Hsiu en_US dc.contributor.author (Authors) 蔡承恩 zh_TW dc.contributor.author (Authors) Tsai, Cheng-En en_US dc.creator (作者) 蔡承恩 zh_TW dc.creator (作者) Tsai, Cheng-En en_US dc.date (日期) 2020 en_US dc.date.accessioned 5-Feb-2020 17:31:18 (UTC+8) - dc.date.available 5-Feb-2020 17:31:18 (UTC+8) - dc.date.issued (上傳時間) 5-Feb-2020 17:31:18 (UTC+8) - dc.identifier (Other Identifiers) G0106352014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/128566 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 106352014 zh_TW dc.description.abstract (摘要) 過去因子模型對於超額報酬之探討主要著重於公司營運與財務指標，然而，近年來隨著市場中的非結構化資料逐漸增加，如何透過分析各種不同的資料引入更多資訊成為重大議題，本研究為探討文字資料運用於財務領域的成效，使用情感分析技術VADER，分析美國公司10-K財報中的文字資訊，計算出財報情緒分數，並驗證若以該分數做為建構投資組合之標準能否獲取超額報酬，並建立基於財報情緒分數之情緒因子，加入Fama-French三因子模型，使用此四因子模型針對美國股市進行超額報酬橫斷面變異進行分析。實證結果顯示使用財報情緒分數做為建立投資組合之標準在Fama-French三因子模型下確實能帶來異常報酬，尤其以負面情緒分數做為標準會有更明顯的趨勢，而更進一步使用基於財報情緒分數做為基準建構的情緒因子，更能使因子模型的解釋力上升。 zh_TW dc.description.abstract (摘要) In the past, the discussion of excess returns in factor models mainly focused on company operations and financial indicators. However, in recent years, as unstructured data has gradually increased, how to introduce more information through analysis of various data has become a major issue. In order to discuss the effectiveness of the application of text data in the financial field, we use VADER to analyze the text information in the 10-K financial reports of American companies, calculate the financial report sentiment score, and verify whether the score can be used as the criterion for constructing an investment portfolio and obtain excess returns. Further, we establish an emotional factor based on financial report sentiment scores and combine with Fama-French three-factor model, and use this four-factor model to analyze the cross-sectional variation of excess returns for the US stock market. Empirical results show that using financial report sentiment scores as the criterion for establishing portfolios can indeed bring abnormal returns under the Fama-French three-factor model. Especially with negative sentiment, we can see a clear trend with excess returns. And using the form 10-K sentiment based factor can improve the explanatory power of the multi-factor model. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與背景 1第二節 研究目的 2第二章 文獻探討 4第一節 因子模型相關研究 4第二節 文字資料相關研究 5第三節 文本情感分析結合因子模型相關研究 6第三章 研究方法 8第一節 因子模型 10第二節 文本情感分析方法 11第三節 財報情緒因子與四因子模型 15第四章 資料來源與處理過程 17第一節 資料來源 17第二節 規模與帳面市價比因子 17第三節 10-K財報與文字資料前處理 18第五章 實證分析結果 20第六章 結論 37參考文獻 39附錄 41 zh_TW dc.format.extent 931565 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106352014 en_US dc.subject (關鍵詞) 情感分析 zh_TW dc.subject (關鍵詞) 因子模型 zh_TW dc.subject (關鍵詞) VADER zh_TW dc.subject (關鍵詞) Sentiment analysis en_US dc.subject (關鍵詞) Factor model en_US dc.subject (關鍵詞) VADER en_US dc.title (題名) 10-K財報情緒與多因子模型對超額報酬之影響：以美國股市為例 zh_TW dc.title (題名) The impact of form 10-K sentiment and multi-factor model on excess return - Evidence from US stock market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Asness, C., and Frazzini, A. (2013). The devil in HML`s details. The Journal of Portfolio Management, 39(4), 49-68.Ball, R. (1978). Anomalies in relationships between securities` yields and yield-surrogates. Journal of Financial Economics, 6(2-3), 103-126.Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.Basu, S. (1983). The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12(1), 129-156.Black, F., Jensen, M. C., and Scholes, M. (1972). The capital asset pricing model: Some empirical tests. Studies in the theory of capital markets, 81(3), 79-121.Bradley, M. M., and Lang, P. J. (1999). Affective norms for English words (ANEW): Instruction manual and affective ratings.Campbell, J. L., Chen, H., Dhaliwal, D. S., Lu, H.-m., and Steele, L. B. (2014). The information content of mandatory risk factor disclosures in corporate filings. Review of Accounting Studies, 19(1), 396-455. doi:10.1007/s11142-013-9258-3Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82. doi:10.1111/j.1540-6261.1997.tb03808.xCowles 3rd, A. (1933). Can stock market forecasters forecast? Econometrica: Journal of the Econometric Society, 309-324.Fama, E. F., and French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465. doi:10.1111/j.1540-6261.1992.tb04398.xFama, E. F., and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. doi:10.1016/0304-405X(93)90023-5Fama, E. F., and French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, 18(3), 25-46. doi:10.1257/0895330042162430Gentzkow, M., Kelly, B., and Taddy, M. (2019). Text as Data. Journal of Economic Literature, 57(3), 535-574. doi:10.1257/jel.20181020Hutto, C. J., and Gilbert, E. (2014). Vader: A parsimonious rule-based model for sentiment analysis of social media text. Paper presented at the Eighth international AAAI conference on weblogs and social media.Kothari, S. P., Li, X., and Short, J. E. (2009). The Effect of Disclosures by Management, Analysts, and Business Press on Cost of Capital, Return Volatility, and Analyst Forecasts: A Study Using Content Analysis. The Accounting Review, 84(5), 1639-1670. Retrieved from www.jstor.org/stable/27784235Li, F. (2006). Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports? SSRN Electronic Journal. doi:10.2139/ssrn.898181Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37. doi:10.2307/1924119Loughran, T., and McDonald, B. (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10‐Ks. The Journal of Finance, 66(1), 35-65.Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.Pennebaker, J. W., Francis, M. E., and Booth, R. J. (2001). Linguistic inquiry and word count: LIWC 2001. Mahway: Lawrence Erlbaum Associates, 71(2001), 2001.Reinganum, M. R. (1981). Misspecification of capital asset pricing: Empirical anomalies based on earnings` yields and market values. Journal of Financial Economics, 9(1), 19-46.Schwert, G. W. (2003). Chapter 15 Anomalies and market efficiency. In Handbook of the Economics of Finance (Vol. 1, pp. 939-974): Elsevier.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.Stone, P. J., Dunphy, D. C., and Smith, M. S. (1966). The general inquirer: A computer approach to content analysis.Tetlock, P. C. (2007). Giving Content to Investor Sentiment: The Role of Media in the Stock Market. The Journal of Finance, 62(3), 1139-1168. doi:10.1111/j.1540-6261.2007.01232.x zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000109 en_US
