Sentiment analysis in annual Reports from Brazilian companies listed at the BM&FBovespa

Authors

  • Marcelo Sanches Pagliarussi Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto Universidade de São Paulo Av. Bandeirantes 3900 - Monte Alegre - CEP 14040-905 Ribeirão Preto – SP Brazil
  • Marcelo Otone Aguiar Fucape Business School Av. Fernando Ferrari, 1358 Boa Vista Vitória – ES Brazil 29075-505
  • Fernando Caio Galdi Fucape Business School Av. Fernando Ferrari, 1358 Boa Vista Vitória – ES Brazil 29075-505

Abstract

We investigated the association between the tone of annual reports issued by a sample of listed Brazilian firms and market variables (abnormal returns, trading volume and price volatility). The tone was measured using sentiment analysis techniques (Liu et al., 2005; Liu, 2010). As in Loughran and McDonald (2011), we developed and used lists of positive, negative, litigious, uncertainty-related and modal words in Portuguese to assess the tone of annual reports. Using a sample of 829 annual reports from 1997 to 2009, we observed a weak association between the tone of annual reports and stock market variables in Brazil. Additionally, we considered a sub-sample prior to GAAP changes in Brazil (1997-2007) and our results are maintained. Contrary to other studies using data from the United States, we found that the tone of annual reports released by Brazilian firms is not conducive to estimating returns.

Keywords: sentiment analysis, textual sentiment, positive words, negative words, annual reports.

Author Biographies

Marcelo Sanches Pagliarussi, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto Universidade de São Paulo Av. Bandeirantes 3900 - Monte Alegre - CEP 14040-905 Ribeirão Preto – SP Brazil

Professor Doutor no Departamento de Contabilidade da Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto, Universidade de São Paulo.

Marcelo Otone Aguiar, Fucape Business School Av. Fernando Ferrari, 1358 Boa Vista Vitória – ES Brazil 29075-505

Mestre em Administração pela Fucape Business School

Fernando Caio Galdi, Fucape Business School Av. Fernando Ferrari, 1358 Boa Vista Vitória – ES Brazil 29075-505

Professor Associado na Fucape Business School

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Published

2016-03-11

Issue

Vol. 13 No. 1 (2016): Jan/Mar

Section

Special Issue

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