This paper develops a text-based downside risk measure using corporate annual reports and assesses its ability to forecast future corporate policies. The forward-looking measure dynamically captures adverse firm conditions evolving from economic fundamentals. When the measure is below its sample...

We develop a firm-level measure of uncertainty shocks through textual analysis of firm annual reports. We find that uncertainty shocks are followed by a short-term reduction in leverage and dividend payouts, while investment, employment, and cash holdings remain unchanged. In contrast,...

We originate risk and uncertainty shock measures through textual analysis of corporate annual reports and assess their implications for corporate policies. Risk shocks are followed by long-lasting diminishing leverage, investment, employment, dividend payouts, stock repurchases, and increasing...

We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...