Prior research finds that mandatory risk factor disclosures are informative in that they increase investors … examining the association between Form 10-K risk factor disclosures and future cash flows levels and stock returns. We use the … these risks relate, and offer two main results. First, we find that tax risk factor disclosures are positively associated …

I exploit unsupervised machine learning and natural language processing techniques to elicit the risk factors that … firms themselves identify in their annual reports. I quantify the firms' exposure to each identified risk and construct … factor mimicking portfolios that proxy for each undiversifiable source of risk. The portfolios are priced in the cross …

Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …