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Do SEC filings indicate any trends? Evidence from the sentiment distribution of forms 10-K and 10-Q with FinBERT

Hyogon Kim (Management of Technology, Gyeongsang National University, Jinju, Republic of Korea)
Eunmi Lee (Textile and Apparel Management, University of Missouri, Columbia, Missouri, USA)
Donghee Yoo (Management Information Systems, BERI, Gyeongsang National University, Jinju, Republic of Korea)

Data Technologies and Applications

ISSN: 2514-9288

Article publication date: 27 February 2023

Issue publication date: 25 April 2023

279

Abstract

Purpose

This study quantified companies' views on the COVID-19 pandemic with sentiment analysis of US public companies' disclosures. The study aims to provide timely insights to shareholders, investors and consumers by exploring sentiment trends and changes in the industry and the relationship with stock price indices.

Design/methodology/approach

From more than 50,000 Form 10-K and Form 10-Q published between 2020 and 2021, over one million texts related to the COVID-19 pandemic were extracted. Applying the FinBERT fine-tuned for this study, the texts were classified into positive, negative and neutral sentiments. The correlations between sentiment trends, differences in sentiment distribution by industry and stock price indices were investigated by statistically testing the changes and distribution of quantified sentiments.

Findings

First, there were quantitative changes in texts related to the COVID-19 pandemic in the US companies' disclosures. In addition, the changes in the trend of positive and negative sentiments were found. Second, industry patterns of positive and negative sentiment changes were similar, but no similarities were found in neutral sentiments. Third, in analyzing the relationship between the representative US stock indices and the sentiment trends, the results indicated a positive relationship with positive sentiments and a negative relationship with negative sentiments.

Originality/value

Performing sentiment analysis on formal documents like Securities and Exchange Commission (SEC) filings, this study was differentiated from previous studies by revealing the quantitative changes of sentiment implied in the documents and the trend over time. Moreover, an appropriate data preprocessing procedure and analysis method were presented for the time-series analysis of the SEC filings.

Keywords

Citation

Kim, H., Lee, E. and Yoo, D. (2023), "Do SEC filings indicate any trends? Evidence from the sentiment distribution of forms 10-K and 10-Q with FinBERT", Data Technologies and Applications, Vol. 57 No. 2, pp. 293-312. https://doi.org/10.1108/DTA-05-2022-0215

Publisher

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Emerald Publishing Limited

Copyright © 2022, Emerald Publishing Limited

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