This thesis delves into the development of a trading strategy that is founded upon the fluctuations in the narrative tone of annual reports between consecutive years. The approach involves purchasing stocks exhibiting positive shifts in net tone while selling those displaying negative changes in tone. Through the implementation of a diverse array of empirical analyses, it can be deduced that this particular strategy proves to be financially advantageous. To be more specific, the application of value-weighted portfolios has resulted in the identification of alphas that span from 0.49% to 0.68%, showcasing the potential for profitability. Conversely, in the case of equally-weighted portfolios, the range of alphas discovered falls between 0.74% and 0.88%, further underscoring the viability and effectiveness of this trading strategy.
Date of Award | 25 Jul 2024 |
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Original language | English |
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Awarding Institution | - Universidade Católica Portuguesa
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Supervisor | Paulo Alves (Supervisor) & Francisco José Guedes dos Santos (Co-Supervisor) |
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- Asset pricing
- Performance
- Return
- Annual report
- Net tone
- Net tone change
- Positive
- Negative
Unveiling the impact of annual reports' tone on valuation: leveraging net tone as a key investment factor
Silva, D. M. (Student). 25 Jul 2024
Student thesis: Master's Thesis