The SEC recently required a two-page summary of risk factor disclosures with the purpose of improving the decision …-usefulness of firm risk factor disclosures. This study tests the usefulness to investors of (1) this new requirement and (2) a novel … proposal that involves hyperlinking financial statement line items with related risk factor disclosures. The hyperlinking …

Valuation risk of a security—uncertainty about its fair value—is a subject of considerable concern in the mutual fund …

Do risk disclosures by mutual funds reflect funds’ actual investment risks? Using textual analysis, we examine risk … types of risks disclosed by funds and study the relation between fund-disclosed risks and risk factors documented in … academic studies. We find that most disclosed risks can be linked to meaningful and well-known academic risk factors. In our …

The aim of this study was to understand the potential effects of different information disclosures regarding risk on … prototype DOL Model Comparative Chart, providing additional risk and return information in a clear graphical manner. One … modification provided summary risk ratings, while the other provided a visual representation of actual returns series over 10 years …

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 …

the content of funds' prospectuses. First, we find that funds disclosed risks increase with their exposed risk. They … methods from textual analysis, we document that around one-third of the variation in the content of funds' risk disclosures is … fund-specific, while a substantial part of a fund's risk disclosures is determined at the fund group level. Our findings …