Conference Publication Details
Mandatory Fields
Slattery D. M.;Sutcliffe R.
Proceedings of the 10th Terminology and Knowledge Engineering Conference: New Frontiers in the Constructive Symbiosis of Terminology and Knowledge Engineering, TKE 2012
Automatic analysis of financial event phrases and keywords in form 8-K disclosures
Optional Fields
Classification Content analysis Disclosures Financial events Keywords Phrases Share price reaction
It is generally accepted that there are three different types of financial information: information in past stock prices, information that is available to all the public, and information that is both available to the public and available privately to insiders [1-4]. This study looks at publicly-available information in Form 8K disclosures filed on the Securities and Exchange Commission's EDGAR system. We developed a prototype financial event phrase (FEP) recognizer and automatically classified a small sample of 8-K disclosures by likely share price response, using automatically-recognized FEPs and hand-chosen keywords as disclosure features. We used C4.5 and SVM-Light for classification but found that C4.5 was more successful overall. In one experiment, we found that C4.5 was able to correctly classify 63.2% of disclosures that had a positive share price reaction around the disclosure filing date, as against 58.2% at chance.
Grant Details