Combining Machine Learning and Semantic Features in the Classification of Corporate Disclosures
Evert S, Heinrich P, Henselmann K, Rabenstein U, Scherr E, Schmitt M, Schröder L (2019)
Publication Type: Journal article
Publication year: 2019
Journal
Pages Range: 309-330
DOI: 10.1007/s10849-019-09283-6
Abstract
We investigate an approach to improving statistical text classification by combining machine learners with an ontology-based identification of domain-specific topic categories. We apply this approach to ad hoc disclosures by public companies. This form of obligatory publicity concerns all information that might affect the stock price; relevant topic categories are governed by stringent regulations. Our goal is to classify disclosures according to their effect on stock prices (negative, neutral, positive). In the study reported here, we combine natural language parsing with a formal background ontology to recognize disclosures concerning particular topics from a prescribed list. The semantic analysis identifies some of these topics with reasonable accuracy. We then demonstrate that machine learners benefit from the additional ontology-based information when predicting the cumulative abnormal return attributed to the disclosure at hand.
Authors with CRIS profile
Stephanie Evert
Lehrstuhl für Korpus- und Computerlinguistik
Philipp Heinrich
Lehrstuhl für Korpus- und Computerlinguistik
Klaus Henselmann
Fachbereich Wirtschaftswissenschaften
Ulrich Rabenstein
Lehrstuhl für Informatik 8 (Theoretische Informatik)
Elisabeth Scherr
Juniorprofessur für Wirtschaftsprüfung mit dem Schwerpunkt digitale Datenanalyse
Lutz Schröder
Lehrstuhl für Informatik 8 (Theoretische Informatik)
Related research project(s)
Involved external institutions
Germany (DE)How to cite
APA:
Evert, S., Heinrich, P., Henselmann, K., Rabenstein, U., Scherr, E., Schmitt, M., & Schröder, L. (2019). Combining Machine Learning and Semantic Features in the Classification of Corporate Disclosures. Journal of Logic, Language and Information, 309-330. https://dx.doi.org/10.1007/s10849-019-09283-6
MLA:
Evert, Stephanie, et al. "Combining Machine Learning and Semantic Features in the Classification of Corporate Disclosures." Journal of Logic, Language and Information (2019): 309-330.
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