School of Business publications portal
This portal is no longer updated. Aalto University School of Business Master's Theses are now in the Aaltodoc publication archive (Aalto University institutional repository)
School of Business | Department of Finance | Finance | 2015
Thesis number: 14077
Value of financial releases' textual content: Evidence from OMX NASDAQ Helsinki
Author: Kasurinen, Tomi
Title: Value of financial releases' textual content: Evidence from OMX NASDAQ Helsinki
Year: 2015  Language: eng
Department: Department of Finance
Academic subject: Finance
Index terms: rahoitus; financing; tilinpäätös; balances of books; raportit; reports; informaatio; information
Pages: 61
Key terms: sentimentti, luettavuus, event study, tilinpäätös, tilinpäätöstiedote, rahoitus

In this thesis I analyze do annual statement releases of Finnish companies' include information about the value of a company's equity that the computational text analysis is able to extract. Furthermore, I investigate is this information immediately incorporated into the stock market prices or do markets under- or overreact to the information content of annual statement releases. The secondary focus is to analyze the readability of the annual statement releases' impact post-announcement period's market reaction.


The study consists of 725 annual statement release from OMX NASDAQ Helsinki, which take place from 2007 to 2014. I use the dictionary approach and Loughran and McDonald -dictionaries to calculate positive and negative words. To determine the sentiment of the releases, I use proportional and "term-frequency - inverse document frequency" - word weights. To measure readability, I use the amount of words as a proxy. Finally, I calculate cumulative abnormal returns based on the market model and use the event study methodology to investigate sentiment's and readability's impact on cumulative abnormal returns.


At market-level, I find that the yearly annual statement releases' average sentiment correlates moderately with the changes in the market index. At firm-level, I find that increase of positive words are linked to the event day's positive shift in the abnormal returns and to the positive drift in the next five days. Furthermore, I find that negative words and "term-frequency - inverse document frequency" word weights are poor predictors of cumulative abnormal returns. Finally, I find no support for the hypothesis that the releases' length proxies readability and impact on post-event returns.
Master's theses are stored at Learning Centre in Otaniemi.