Abstract

Research Summary

This study applies natural language processing (NLP) to examine how the sentiment and tone of corporate communications (10-K and 10-Q SEC filings) shift between economic expansion and recession.

An econometric analysis reveals that:

• Recessionary periods see more negative sentiment, uncertainty, and strong modal tones, while constraining tone decreases.
• Positive sentiment consistently relates to higher stock returns, regardless of market condition.
• Other tones (e.g., uncertainty, litigious, modal tones) show varying impacts depending on whether the economy is expanding or contracting.
• The type of filing (annual vs. quarterly) also shapes how sentiment and tone affect stock returns.

Corporate communication is not just informative but also influential in shaping investor behavior. For investors, textual signals such as sentiment and tone can provide valuable cues for decision-making, especially during uncertain times. For corporate managers, the results highlight the importance of tailoring communication strategies to market conditions: excessive negativity in downturns may further depress stock prices, while overly optimistic language in expansions can fuel unsustainable expectations. For regulators, sentiment and tone analysis offers a tool to better monitor how companies communicate with the market, thereby supporting transparency and long-term stability.

DOI: 10.1177/21582440251363860

หมายเหตุ: บทความนี้เป็นผลงานวิจัยของ Research Associate ของกองทุนส่งเสริมการพัฒนาตลาดทุน (CMDF) และบทความนี้ไม่ได้รับทุนสนับสนุนจากกองทุนส่งเสริมการพัฒนาตลาดทุน (CMDF)