Lyle, Matthew R.; Riedl, Eddie; Siano, Federico - 2022
This paper examines how changes in firms’ risk disclosures affect a key market measure of risk. Our proxy for changes … in risk disclosures is the addition and removal of individual risk factors to firms’ 10-K annual filings, identified via … textual analysis of the risk factors section. Our market measure proxy for risk is the variance risk premium (VRP), which …