Text-10K#314tier 1experimental liveNew

`forward looking statement count`

cadence: Annualdata: mediumlong onlyshort onlylong short

2010

Li, F. (2010). "The Information Content of Forward-Looking Statements in Corporate Filings—A Naïve Bayesian Machine Learning Approach." Journal of Accounting Research, 48(5), 1049-1102.

Read the paper →

What it checks

Companies that ramp up forward-looking language in their annual filing tend to outperform; those that pull back tend to underperform.

Mechanism

Forward-looking statement (FLS) lexicon density on 10-K MD&A (Item 7) is a predictor of forward-realized volatility and information environment quality. Falling FLS density -> guidance withdrawn -> SHORT; rising -> confident communication -> LONG.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

sec_10k_sections.item_7_text FLS rate Y/Y delta own-z; >= 1.0 -> LONG, <= -1.0 -> SHORT, hold 90/180d

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_10k_sections
Worker data table — see services/worker schema.

Expected edge

Paper alpha: ~2-4% over 6mo on top-decile
Paper window: T+1 to T+180d

Li 2010 JAR: FLS-count z >= 1 predicts ~2-4% over 6mo; conditional on guidance-direction sign.

Related families

transcript guidance shiftText-NLP

Bowen-Davis-Matsumoto 2002 + Demers-Vega 2010: keyword markers of guidance direction predict drift. We count occurrences of direction-specific phrases per call (RAISE words: "raised guidance", "increased outlook", "exceeding expectations"; LOWER words: "lowered guidance", "reduced outlook", "miss expectations") and z-score (raise_count − lower_count) within own history. Long when net raise > 1 SD; short when net lower > 1 SD.

mdna tone deltaFilings

Loughran-McDonald 2011 JF demonstrate the *tone* of 10-K filings — positive vs negative finance-specific lexicon — predicts forward returns. Distinct from filing_text_delta's *uncertainty* lexicon. Effect: bottom-decile tone-delta underperforms top-decile by ~2-3% over 4 weeks, persisting ~12 weeks. Today consumes the cached Item 1 (Business) text; switches to Item 7 (MD&A) when the EDGAR pipeline emits it (tracked in docs/alpha-research/proposals/).

filing text deltaText-NLP

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.

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forward looking statement count