U.S. Filings: No News is Good News - Textual Consistency in Corporate Filings Signals Outperformance

Abstract

Company annual filings are a vital but often under-analyzed source of information for investors. Market moving content is buried within an ever-growing body of text that on average is equivalent to a 240-page novel. The filings contain subtle revisions making a computational linguistic approach imperative. Faced with this voluminous amount of text and the minute number of changes, investors have historically overlooked the newly embedded information and the implications of those additions. This paper extends the first Quantamental Research paper on corporate filings, which considered the Risk Factors section by exploring the five commonly shared sections between Form 10-K and Form 10-Q.