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Analyzing the Information Content of Sentiment in the Board's Activity Reports: Bag of Words Method

    Authors

    • mawlood peleh 1
    • Naser Izadinia 2
    • Hadi Amiri 3

    1 Department of Accounting, Faculty of Administrative & Economic, University of Isfahan, Isfahan, Iran

    2 Department of Accounting, Faculty of Administrative & Economic; University of Isfahan, Isfahan, Iran

    3 Department of Economy, Faculty of Administrative & Economic, University of Isfahan, Isfahan, Iran

,

Document Type : Research Paper

10.30479/jfak.2019.10395.2454
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Abstract

Purpose: The purpose of this study is to analyze the information content of sentiment (tone) in the board's activity reports and compare explanatory power of different methods of measuring sentiment.
Method: The sentiment was measured by general word list and domain-specific word list with equal weighting and wf-idf weighing method. The sample of this study consists of 512 firm-years from 2009 to 2018. Panel data method and Vuong test were used to test hypothesis.
Results: The results show that the market reacts to the sentiment of board's activity reports in the short-window of announcement date anduse of domain-specific word list and the wf-idf weighting method for measuring the sentiment did not increase the explanatory power of the models used to analyze the information content of sentiment.
Conclusion: sentiment of board's activity reports have information content and use of different weighting methods does not change the results of the study.
Contribution:Providing evidence about market reactions to the sentiment of board's activity reports, creating domain-specific word list to measure sentiment in Persian language, as well as comparing prevalent weighting methods, are the main contribution of this study.

Keywords

  • Bag of Word's Method
  • Information Content
  • Sentiment
  • Weighting Methods
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References
References
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Financial Accounting Knowledge
Volume 8, Issue 28 - Serial Number 28
April 2021
Pages 1-27
Files
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How to cite
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  • Article View: 999
  • PDF Download: 862

APA

peleh, M. , Izadinia, N. and Amiri, H. (2021). Analyzing the Information Content of Sentiment in the Board's Activity Reports: Bag of Words Method. Financial Accounting Knowledge, 8(28), 1-27. doi: 10.30479/jfak.2019.10395.2454

MLA

peleh, M. , , Izadinia, N. , and Amiri, H. . "Analyzing the Information Content of Sentiment in the Board's Activity Reports: Bag of Words Method", Financial Accounting Knowledge, 8, 28, 2021, 1-27. doi: 10.30479/jfak.2019.10395.2454

HARVARD

peleh, M., Izadinia, N., Amiri, H. (2021). 'Analyzing the Information Content of Sentiment in the Board's Activity Reports: Bag of Words Method', Financial Accounting Knowledge, 8(28), pp. 1-27. doi: 10.30479/jfak.2019.10395.2454

CHICAGO

M. peleh , N. Izadinia and H. Amiri, "Analyzing the Information Content of Sentiment in the Board's Activity Reports: Bag of Words Method," Financial Accounting Knowledge, 8 28 (2021): 1-27, doi: 10.30479/jfak.2019.10395.2454

VANCOUVER

peleh, M., Izadinia, N., Amiri, H. Analyzing the Information Content of Sentiment in the Board's Activity Reports: Bag of Words Method. Financial Accounting Knowledge, 2021; 8(28): 1-27. doi: 10.30479/jfak.2019.10395.2454

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