|

|
|
|
Bill McDonald
Professor of Finance
Thomas A. and James J. Bruder Chair in
Administrative Leadership
|

|
|
E‑Mail:
|
mcdonald.1@nd.edu
|
|
Address:
|
335 Mendoza
College of Business
University of
Notre Dame
Notre Dame,
IN 46556
|
|
Telephone:
|
(574) 631‑5137
|
|
|
|
|
This page contains some tools
that are useful for textual analysis in financial applications. The essential method of textual analysis
goes by various labels in other disciplines such as content analysis,
natural language processing, information retrieval, or computational
linguistics. A growing literature
finds significant relations between stock price reactions to the sentiment
of information releases as measured by word classifications such as those
provided below. Additionally we
provide a new measure of readability based on the SEC's Plain English
initiative.
|
|
·
Master Dictionary
Derived from release 4.0 of 2of12inf. Extended to include words appearing in 10-K
documents that are not found in the original 2of12inf word list.
·
Stop
words
1.
Generic
2.
Names
3.
Dates and numbers
4.
Geographic
5.
Currencies
·
10-K
Dictionary
Tabulation of all words
appearing in 10-K documents from 1994-2008, excluding sections tagged as
tables with more than 25% numbers and excluding exhibits. The file contains the word, word count,
and number of documents containing at least one occurrence of the word. (csv format)
|
|
|
Plain English Measure for
10-Ks 1994-2007
|
·
Plain
English_LoughranMcDonald.txt
File with Plain English measure
for the sample in Loughran
and McDonald (2009). CIK, filedate and Plain English value in csv
format.
|
|
© 2011
University of Notre Dame
|