The Opposing Effects of Complexity and Information Content on Uncertainty Dynamics: Evidence from 10-K Filings
References
- Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Google Scholar
- (2020) Ambiguity, volatility, and credit risk. Rev. Financial Stud. 33(4):1618–1672.Crossref, Google Scholar
- (2012) Firm specific information and the cost of equity capital. Working paper, Booth School of Business, University of Chicago, Chicago.Google Scholar
- (2001) Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns. J. Econometrics 105(1):5–26.Crossref, Google Scholar
- (2009) Institutional investors and the informational efficiency of prices. Rev. Financial Stud. 22(9):3563–3594.Crossref, Google Scholar
- (1997) Disclosure level and the cost of equity capital. Accounting Rev. 72(3):323–349.Google Scholar
- (2002) A re-examination of disclosure level and the expected cost of equity capital. J. Accounting Res. 40(1):21–40.Crossref, Google Scholar
- (2001) Stock price volatility and equity premium. J. Monetary Econom. 47(2):249–283.Crossref, Google Scholar
- (2011) The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets. J. Econometrics 160(1):48–57.Crossref, Google Scholar
- (2022) Risk disclosure and the pricing of corporate debt issues in private and public markets. Working paper, University of Michigan-Dearborn, Dearborn, MI.Google Scholar
- (1993) The informational content of implied volatility. Rev. Financial Stud. 6(3):659–681.Crossref, Google Scholar
- (2012) Option-implied measures of equity risk. Rev. Finance 16(2):385–428.Crossref, Google Scholar
- (2007) Price informativeness and investment sensitivity to stock price. Rev. Financial Stud. 20(3):619–650.Crossref, Google Scholar
- (1998) The relation between implied and realized volatility. J. Financial Econom. 50(2):125–150.Crossref, Google Scholar
- (2012) Complicated firms. J. Financial Econom. 104(2):383–400.Crossref, Google Scholar
- (2020) Lazy prices. J. Finance 75(3):1371–1415.Crossref, Google Scholar
- (1992) Stock market volatility and the information content of stock index options. J. Econometrics 52(1–2):267–287.Crossref, Google Scholar
- (2015) Analyst report readability. Contemporary Accounting Res. 32(1):76–104.Crossref, Google Scholar
- Diamond DW (1985) Optimal release of information by firms. J. Finance 40(4):1071–1094.Google Scholar
- (2012) Journalists and the stock market. Rev. Financial Stud. 25(3):639–679.Crossref, Google Scholar
- (2012) The real effects of financial markets: The impact of prices on takeovers. J. Finance 67(3):933–972.Crossref, Google Scholar
- (2015) Feedback effects, asymmetric trading, and the limits to arbitrage. Amer. Econom. Rev. 105(12):3766–3797.Crossref, Google Scholar
- (2007) Learning under ambiguity. Rev. Econom. Stud. 74(4):1275–1303.Crossref, Google Scholar
- (1998) The quality of market volatility forecasts implied by S&P 100 index option prices. J. Empirical Finance 5(4):317–345.Crossref, Google Scholar
- Gao C, Xing Y, Zhang X (2018) Anticipating uncertainty: Straddles around earnings announcements. J. Financial Quant. Anal. 53(6):2587–2617.Google Scholar
- (2014) No news is news: Do markets underreact to nothing? Rev. Financial Stud. 27(12):3389–3440.Crossref, Google Scholar
- (2017) Information disclosure in financial markets. Annual Rev. Financial Econom. 9:101–125.Crossref, Google Scholar
- (2021) Market feedback: Who learns what? Working paper, University of Pennsylvania, Philadelphia.Google Scholar
- (2003) Got information? Investor response to form 10-K and form 10-Q EDGAR filings. Rev. Accounting Stud. 8:433–460.Crossref, Google Scholar
- (2010) The information content of IPO prospectuses. Rev. Financial Stud. 23(7):2821–2864.Crossref, Google Scholar
- (2012) Litigation risk, strategic disclosure and the underpricing of initial public offerings. J. Financial Econom. 103(2):235–254.Crossref, Google Scholar
- (2019) Dynamic interpretation of emerging risks in the financial sector. Rev. Financial Stud. 32(12):4543–4603.Crossref, Google Scholar
- (2014) Tell it like it is: Disclosed risks and factor portfolios. Working paper, Department of Finance, Michigan State University, East Lansing, MI.Google Scholar
- (2017) Risk, ambiguity, and the exercise of employee stock options. J. Financial Econom. 124(1):65–85.Crossref, Google Scholar
- (2005) The model-free implied volatility and its information content. Rev. Financial Stud. 18(4):1305–1342.Crossref, Google Scholar
- (2009) Predicting risk from financial reports with regression. Proc. Human Language Tech. 2009 Annual Conf. North Amer. Chapter Assoc. Comput. Linguistics (Association for Computational Linguistics), 272–280.Google Scholar
- (2012) The more we know about the fundamental, the less we agree on the price. Rev. Econom. Stud. 79(3):1175–1207.Crossref, Google Scholar
- (2009) The effect of disclosures by management, analysts, and business press on cost of capital, return volatility, and analyst forecasts: A study using content analysis. Accounting Rev. 84(5):1639–1670.Crossref, Google Scholar
- (1993) Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities. Rev. Financial Stud. 6(2):293–326.Crossref, Google Scholar
- (1996) Corporate disclosure policy and analyst behavior. Accounting Rev. 71(4):467–492.Google Scholar
- (2013) Individual investors and financial disclosure. J. Accounting Econom. 56(1):130–147.Crossref, Google Scholar
- (1999) Learning the parts of objects by non-negative matrix factorization. Nature 401:788–791.Crossref, Google Scholar
- (2011) The effect of annual report readability on analyst following and the properties of their earnings forecasts. Accounting Rev. 86(3):1087–1115.Crossref, Google Scholar
- (2016) The economics of disclosure and financial reporting regulation: Evidence and suggestions for future research. J. Accounting Res. 54(2):525–622.Crossref, Google Scholar
- (2008) Annual report readability, current earnings, and earnings persistence. J. Accounting Econom. 45(2–3):221–247.Crossref, Google Scholar
- (2021) Market feedback: Evidence from the horse’s mouth. Working paper, PBC School of Finance, Tsinghua University.Google Scholar
- (2020) Risk factors that matter: Textual analysis of risk disclosures for the cross-section of returns. Working paper, Department of Finance, Insurance and Real Estate, University of Florida, Gainesville, FL.Google Scholar
- (2014) Measuring readability in financial disclosures. J. Finance 69(4):1643–1671.Crossref, Google Scholar
- (2016) Textual analysis in accounting and finance: A survey. J. Accounting Res. 54(4):1187–1230.Crossref, Google Scholar
- (1983) The effect of the information environment on the relationship between financial disclosure and security price variability. J. Accounting Econom. 5:49–74.Crossref, Google Scholar
- (2021) Costly interpretation of asset prices. Management Sci. 68(1):52–74.Link, Google Scholar
- (2015) An analysis of the coherence of descriptors in topic modeling. Expert Systems Appl. 42(13):5645–5657.Crossref, Google Scholar
- (2014) Learning about CEO ability and stock return volatility. Rev. Financial Stud. 28(6):1623–1666.Crossref, Google Scholar
- (2015) Management risk and the cost of borrowing. Working paper, Department of Finance, University of Utah, Salt Lake City.Google Scholar
- (2003) Stock valuation and learning about profitability. J. Finance 58(5):1749–1789.Crossref, Google Scholar
- (2009) Learning in financial markets. Annual Rev. Financial Econom. 1:361–381.Crossref, Google Scholar
- (1979) Anticipated information releases reflected in call option prices. J. Accounting Econom. 1(2):117–140.Crossref, Google Scholar
- (2003) Time to digest and volatility dynamics. Working paper, City University of New York, New York.Google Scholar
- (2003) Forecasting volatility in financial markets: A review. J. Econom. Literature 41(2):478–539.Crossref, Google Scholar
- (2022) Do mutual funds walk the talk? A textual analysis of risk disclosure by mutual funds. Working paper, University of California, Irvine, Irvine, CA.Google Scholar
- (1993) How learning in financial markets generates excess volatility and predictability in stock prices. Quart. J. Econom. 108(4):1135–1145.Crossref, Google Scholar
- (2009) Financial reporting complexity and investor underreaction to 10-K information. Rev. Accounting Stud. 14:559–586.Crossref, Google Scholar
- (2020) Neglected risks in the communication of the mortgage-backed securities offering process. Working paper, Naveen Jindal School of Management, University of Texas at Dallas, Richardson, TX.Google Scholar
- (2017) Does information intensity matter for stock returns? Evidence from form 8-K filings. Management Sci. 63(5):1382–1404.Link, Google Scholar

