Darina Slattery TKE’02 30 th August 2002 1 Automatic Analysis of Corporate Financial Disclosures Darina M. Slattery University of Limerick Ph.D. Postgraduate Student Richard F.E. Sutcliffe University of Limerick Eamonn J. Walsh University College Dublin
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Darina SlatteryTKE02 30 th August 2002 1 Automatic Analysis of Corporate Financial Disclosures Darina M. Slattery University of Limerick Ph.D. Postgraduate.
Darina SlatteryTKE’02 30 th August Principal Stages of Research Identify Interesting Content in Disclosures Use Classification Techniques to Predict the likely Share Price Response, based on Interesting Content identified
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Darina Slattery TKE’02 30th August 2002
1
Automatic Analysis of Corporate Financial Disclosures Darina M. Slattery
University of Limerick Ph.D. Postgraduate Student
Richard F.E. Sutcliffe University of Limerick
Eamonn J. Walsh University College Dublin
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Research Objective To investigate the correlation between
the release of disclosure information and share price resonses, and to develop a system that will analyse such disclosure information and predict the likely share price response accordingly
Darina Slattery TKE’02 30th August 2002
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Principal Stages of Research Identify Interesting Content in Disclosures
Use Classification Techniques to Predict the likely Share Price Response, based on Interesting Content identified
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Definition of Financial Terms Corporate Financial Disclosures
Securities & Exchange Commission (SEC)
EDGAR
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Definition of Financial Terms SIC Code
CIK Code
Ticker Symbol
Registrant
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Sources of Financial Information Disclosures
Historical Share Price Data
Press Releases
Industry Trends
Speculation
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SEC & EDGAR: Background (1/2) The Securities Act of 1933 & the Securities
Exchange Act of 1934: Require all Public Domestic Companies
to disclose and file Specific Periodic & Annual Reports with the SEC
As of May 1996, all SEC disclosures must be filed on EDGAR and thus made available online at http://www.sec.gov/edgarhp.htm
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SEC & EDGAR: Background (2/2) EDGAR can be accessed by:
Web Browser Anonymous File Transfer Protocol (FTP)
EDGAR Search Facilities: General-Purpose Searches Special-Purpose Searches
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EDGAR Disclosures Format Dictated by Law
Plain Text or HTML only
Certain Limitations on HTML Tags For Consistency
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EDGAR Form Types (1/2) Form 10-Q
Quarterly Report Continuing View of the Company Due within 45 Days after Quarter Close
Form 10-K Annual Report Comprehensive Overview of the Company Due within 90 Days after End of Fiscal Year
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EDGAR Form Types (2/2) Form 8-K
Current Report Reports the Occurrence of any Material
Events and Corporate Changes Of interest to Shareholders & Potential
Investors Due within 5 or 15 Days after the Event
Occurrence, depending on Event
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Stages Undertaken To-Date Obtained Suitable Data Set
Analysed Structure of Form 8-K’s
Prepared Content for Classification
Attempted to Classify Documents by Likely Share Price Response
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Data Set Obtained 567 Form 8-K disclosures in SIC 7372
Filing Date URL Share Price Response around Filing Date
Up Down Nochange
219/ 567 Disclosures Chosen for Experiments Categorised by Share Price Response
80% of each Category used as Training Data 20% of each Category used as Test Data
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Structural Analysis Header Items 1-9
Item 1: Changes in Control of Registrant Item 2: Acquisition or Disposition of Assets Item 3: Bankruptcy or Receivership Item 4: Changes in Registrant’s Certifying Accountant Item 5: Other Materially Important Events Item 6: Resignations of Registrant’s Directors Item 7: Financial Statements and Exhibits Item 8: Change in Fiscal Year Item 9: Regulation FD Disclosure
Appendices
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Content Preparation: Wordsmith
On June 2, 1998, XXX Corporation announced in a press release the signing of an Acquisition Agreement and Plan of Merger …On May 2, 2000, XXX Corporation announced in a press release the sale of the outstanding capital stock of …
On April 17, 1997, XXX Corporation signed an Agreement and Plan of Merger …
On June 2, 1998, XXX Corporation announced in a press release the signing of an Acquisition Agreement and Plan of Merger …On May 2, 2000, XXX Corporation announced in a press release the sale of the outstanding capital stock of …
On April 17, 1997, XXX Corporation signed an Agreement and Plan of Merger …