Filings, Insiders & OwnershipExtended setwaiting_dataNew

Filing Text Delta

Updated annualData needs: mediumlong shortlong onlyshort only

2020

#82 filing_text_delta — Cohen-Malloy-Nguyen 2020 JF "Lazy Prices" + 10-K Item 1 uncertainty-language delta.

In plain terms

Counts uncertainty/risk words ('may', 'could', 'challenging') in 10-K Item 1 (Business) YoY. A spike means management is privately more worried — bearish.

How it works

Year-over-year change in uncertainty/risk language in 10-K Item 1 ('Business' section). Spike in 'may', 'could', 'uncertain', 'challenging', 'risk' tokens per 10K words → management is privately more cautious → forward earnings miss / underperformance. Stable or decreasing language → quietly confident outlook → outperform.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

SEC 10k business text
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: ~3-4% ann. L/S (Loughran-McDonald 2011 extension)
Tested over: 1994-2008

~3-4% annualized long-short return (Cohen-Malloy-Nguyen 2020 extension).

Related families

Lazy Prices ShortCompany Events & Earnings

The short side of 'lazy prices': firms that rewrote their 10-K heavily YoY underperform by 188 bps/month. Most of the lazy-prices alpha lives on this short leg.

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