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The Brain Language Metrics on Company Filings (BLMCF) dataset has the objective of monitoring several language metrics on 10-Ks and 10-Qs company reports for approximately 6000+ US stocks. Example of metrics are financial sentiment, percentage of specific language type in the document (e.g. litigious language) and similarity among documents. This extended version provides additional language metrics and an analysis of the whole report together with specific report sections (e.g. Risk Factors).
Overview
Brain Language Metrics on Company Filings
Overview
The Brain Language Metrics on Company Filings (BLMCF) dataset has the objective of monitoring several language metrics on 10-Ks and 10-Qs company reports for approximately 6000+ US stocks.
Recent literature works claim inefficiencies in the market response to company filings information due to the increased complexity and length of such reports, see for example "Lazy Prices" Cohen et al. 2018 or "The Positive Similarity of Company Filings and the Cross-Section of Stock Returns", M. Padysak 2020 .
Some literature works claim inefficiencies in the market response to company filings information due to the increased complexity and length of such reports; over the last 20 years, the length of the average 10-K has in fact increased dramatically.
Our dataset is made of two parts; the first one includes the language metrics of the most recent 10-K or 10-Q report for each firm, namely:
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Financial sentiment
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Percentage of words belonging to financial domain classified by language types: constraining, litigious, uncertainty and interesting language.
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Readability score
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Lexical metrics such as lexical density and richness
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Text statistics such as the report length and the average sentence length
The second part includes the differences between the two most recent 10-Ks or 10-Qs reports of the same period for each company, namely:
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Difference of the various language metrics (e.g. delta sentiment, delta readability score delta, delta percentage of a specific language type etc.)
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Similarity metrics between documents, also with respect to a specific language type (for example similarity with respect to “litigious” language or “uncertainty” language)
Our dataset includes the metrics and related differences both for the whole report and for specific sections (Risk Factors and Management Discussion and Analysis)
Feed Details
The dataset is updated with a daily frequency since new 10-Ks and 10-Qs reports are released every day for some of the universe companies. Clearly the largest update will be around February, April, August and November when the largest number of reports is released. The historical dataset is available from year 2010.
Historical Trial
The dataset contains historical data from January 2010 that can be freely accessed for 2 months. For a live feed please contact us at support@braincompany.co and we will make accessible a customized version of the product on AWS Data Exchange according to Client requirements.
Disclaimer
The content of this dataset is not to be intended as investment advice. The material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provvaluee investment advisory or other services by Brain. Brain makes no guarantees regarding the accuracy and completeness of the information expressed in the dataset.
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Dimensions summary
This is a free trial listing with a single pricing dimension. Product Access (Units) grants you access to the dataset at no charge. There are no tiers, usage add-ons, or scaling options to compare. You get one flat access dimension, which lets you explore the historical language-metrics dataset covering 10-K and 10-Q filings for US stocks. Because it is a trial with one dimension, pricing does not change based on usage volume or quantity.
Top-of-mind questions for buyers
It grants access to the historical language-metrics dataset. The data covers 10-K and 10-Q filings for 6000+ US stocks. Metrics include financial sentiment, readability scores, lexical density and richness, similarity measures, and differences between documents. The historical dataset reaches back to 2010.
The dataset updates daily, since new filings are released regularly for companies in the universe. The largest updates fall around February, April, August, and November, when the most reports are filed. Your single access dimension covers this ongoing update flow at no charge.
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Additional details
You will receive access to the following data sets.
Data set name | Type | Historical revisions | Future revisions | Sensitive information | Data dictionaries | Data samples |
|---|---|---|---|---|---|---|
Brain Language Metrics on Company Filings - Extended Version (Historical Trial) | All historical revisions | All future revisions | Not included | Not included |
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