Mehran Azimi University of Massachusetts Boston


Is Positive Sentiment in Corporate Annual Reports Informative? Evidence from Deep Learning , SSRN Link, Forthcoming at RAPS

co-authored with Anup Agrawal

Abstract:

We use a novel text classification approach from deep learning to more accurately measure sentiment in a large sample of 10-Ks. In contrast to most prior literature, we find that positive, and negative, sentiment predicts abnormal return and abnormal trading volume around 10-K filing date and future firm fundamentals and policies. Our results suggest that the qualitative information contained in corporate annual reports is richer than previously found. Both positive and negative sentiments are informative when measured accurately, but they do not have symmetric implications, suggesting that a net sentiment measure advocated by prior studies would be less informative.


Presented at: MFA 2019, FMA 2019, SEC, University of Alabama, AFA 2020 Poster Session, Conference on Financial Economics and Accounting at NYU 2019, University of Utah

Featured in: Columbia Law School Blue Sky Blog, Bloomberg

Are Professional Investors Prone to Behavioral Biases? Evidence from Mutual Fund Managers , SSRN Link

Abstract:

I study the determinants of mutual fund managers’ expectations about the stock market and its implications for decision making and fund performance. Using a direct measure of managers’ market expectations extracted from mutual funds’ semi-annual reports, I find that fund managers extrapolate their funds’ past performance into their market outlook. In addition, their expectation about the market return is negatively related to whether they experienced the burst of the dot-com bubble. Funds with managers who have higher market expectation take more risk by increasing their equity holdings and the beta of their equity portfolios, but underperform subsequently. My results suggest that professional investors are also prone to behavioral biases, which is detrimental to mutual fund investors.

Presented at: University of Alabama, FMA 2020

Why Do Mutual Funds Disclose Tips?

co-authored with Shawn Mobbs, Kevin Mullally and Shane Underwood

Presented at: University of Alabama, University of Central Florida, FMA 2020