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  Computerized retrieval and classification: An application to reasons for late filings with the securities and exchange commission
 
 
Titel: Computerized retrieval and classification: An application to reasons for late filings with the securities and exchange commission
Auteur: Feldman, Ronen
Rosenfeld, Benjamin
Lazar, Ron
Livnat, Joshua
Segal, Benjamin
Verschenen in: Intelligent data analysis
Paginering: Jaargang 10 (2006) nr. 2 pagina's 183-195
Jaar: 2006-05-18
Inhoud: This study explores a system to retrieve and classify the reasons for late mandatory SEC (Securities and Exchange Commission) filings. From the source documents, the system identifies the reasons for the late filing and classifies them into one or more of seven categories. The system can be used by potential investors who have to track a large number of filings concentrated within a day or two. Our results indicate that the SEC filings may be quite ambiguous, with experienced raters disagreeing on one category for a training sample of 600 filings in about 30% of the cases. However, allowing classifications into more than one category using document level information yields accuracy of about 90% in a test sample of 200 filings. We also show that the stock market reactions to over 9,000 late filings vary in an intuitive way according to the classified reasons.
Uitgever: IOS Press
Bronbestand: Elektronische Wetenschappelijke Tijdschriften
 
 

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