Appearance of Corporate Innovation in Financial Reports : A Text-Based Analysis

Innovations are important drivers of economic growth and firm profitability. Firms need funding to generate profitable innovations, which is why it is important to reliably distinguish innovative firms. Innovation indicators are used to measure this innovativeness, and consequently, it is important that the used indicator is reliable and measures innovation as desired. Patents, research and development expenditure and innovation surveys are examples of popular innovation indicators in research literature. However, these indicators have weaknesses, which is why new innovation indicators have been developed. This thesis studies the text-based innovation indicator developed by Bellstam et al. (2019) with a new type of data. Bellstam et al. (2019) created a new text-based innovation indicator that compares corporations’ analyst reports with an innovation textbook as the basis for the indicator. The similarity between these texts created the measurement for innovativeness. Analyst reports are usu-ally subject to charge. However, the 10-K reports used as data for this study are publicly available, and their functionality as the basis of the innovation indicator would mean good availability for the indicator. The study begins by training a Latent Dirichlet allocation (LDA) model with a sample of 10-K documents from 2008-2018. LDA-model is an unsupervised machine learning method, it finds topics in the text documents based on the probabilities of different words. The LDA-model was trained to find 15 topic allocations in the data and the output of the model is the distribution of these topics for each document. The same topic distributions were also allocated for eight samples from innovation textbooks. When the topic distributions were allocated, a Kullback-Leibler-divergence (KL-divergence) was calculated between each text sample and 10-K document. Thus, the KL-divergence calculated is the lowest for those reports that are the most similar to the innovation text and works as the text-based innovation indicator. Finally, the text-based innovation indicator was validated with regression analysis, in other words, it was confirmed that the indicator measures innovation. The text-based indicator was compared with research and development costs and the balance sheet value of brands and patents in different linear regressions. Out of the eight innovation measurements, most had a statistically significant correlation with one or both of the other innovation indicators. The ability of the text-based indicator to predict the development of sales in the next year was studied with regression analysis as well and all of the measurements had a significant effect on this. The most significant findings of this thesis are the relationship of the text-based innovation indicator and other indicators and its ability to predict firms’ sales.Innovaatiot ovat tärkeitä talouskasvun ja yritysten kannattavuuden ajureita. Tuottavien innovaatioiden syntymiseksi yritykset tarvitsevat rahoitusta, minkä takia onkin tärkeää, että innovatiiviset yritykset pystytään tunnistamaan luotettavasti. Innovaatioindikaattoreita käytetään tähän innovatiivisuuden mittaamiseen ja on siksi tärkeää, että käytetty indikaattori on luotettava ja mittaa innovatiivisuutta oikealla tavalla. Kirjallisuudessa paljon käytettyjä innovaatioindikaattoreita ovat esimerkiksi patentit, tutkimus- ja kehitysmenot sekä innovaatiokyselyt. Näissä indikaattoreissa on kuitenkin myös heikkouksia, joiden takia uusia indikaattoreita on alettu kehittää. Tässä tutkielmassa tutkitaan Bellstamin ja muiden (2019) luomaa tekstipohjaista innovaatioindikaattoria erilaisella datalla. Bellstam ja muut (2019) loivat uuden innovaatioindikaattorin, jonka pohjana oli yritysten ana-lyytikkoraporttien vertailu innovaatio-oppikirjan tekstin kanssa, näiden samankaltaisuusver-tailusta saatiin innovaatiomittari. Analyytikkoraportit ovat usein maksullisia. Tässä tutkimuk-sessa aineistona on käytetty lakisääteisiä tilinpäätösraportteja, jotka ovat julkisia tiedostoja, joten niiden toimivuus innovaatioindikaattorin pohjana tarkoittaisi hyvää saatavuutta indi-kaattorille. Tutkimus alkaa Latent Dirichlet allocation (LDA) –mallin harjoittamisella Yhdysvaltalaisten yritysten 10-K, eli tilinpäätösraporteilla vuosilta 2008-2018. LDA-malli on valvomaton koneoppimismenetelmä, eli se etsii datasta itse aihepiirejä sanojen todennäköisyyksien perusteella. LDA-malli asetettiin etsimään datasta 15 eri aihepiiriä raporteissa käytettyjen aiheiden perusteella ja mallin tuloksena on näiden aihepiirien jakautuminen jokaisessa dokumentissa. Samat aihepiirijakaumat haettiin myös kahdeksalle tekstiotokselle innovaatio-oppikirjoista. Aihepiirijakaumien ollessa valmiit, laskettiin Kullback-Leibler-divergenssi (KL-divergenssi) tilinpäätösraporttien ja innovaatio-oppikirjojen tekstiotosten aihepiirijakaumien välille. Laskettu KL-divergenssi on siten matalin niille tilinpäätösraporteille, joiden teksti on lähimpänä kunkin innovaatio-oppikirjan tekstiä ja toimii tekstipohjaisena innovaatioindikaattorina. Lopuksi indikaattorin toimivuus vahvistetaan regressioanalyysillä, eli tutkitaan, että se mittaa innovatiivisuuta. Regressioanalyysillä tutkitaan innovaatiomittarien yhteyttä yritysten tutkimus- ja kehitystoiminnan kuluihin sekä patenttien ja brändien tasearvoon. Kahdeksasta innovaatiomittarista suurimmalla osalla oli tilastollisesti merkitsevä yhteys muuttujista toiseen tai molempiin. Myös uuden innovaatiomittarin kykyä ennustaa yritysten seuraavan vuoden myyntiä tutkittiin regressioanalyysillä ja jokaisella mittarilla oli tilastollisesti merkitsevä yhteys yritysten liikevaihdon muutokseen. Tutkimuksen merkittävin löydös oli tekstipohjaisen innovaatiomittarin yhteys muihin innovaatiomittareihin ja yritysten liikevaihdon kehitykseen

Cryptocurrency and trading strategies

The aim of this dissertation is to provide a review on the current cryptocurrency economics which is still vague to a vast number of investors. Regression results suggest some but limited similarities to stocks with regards to the price movements in the market. The goal of the dissertation is to examine the profitability of moving average trading strategies with 3, 9 and 30-days moving averages which have only been tested on a longer lag moving average and the feasibility of volatility timing strategy which has not yet been implemented on Bitcoin markets. Results show that moving average strategies significantly outperform the Buy-and-Hold Bitcoin benchmark, but increase the higherorder risk. The volatility timing strategy did not produce the desired decrease in higher-order risk. However, this result does not rule-out the possibility that an application of a more sophisticated asset-pricing model could further decrease excess kurtosis, which seems problematic for a broader scope of investors since there is a continuous risk of crash present in the cryptocurrency markets.O objetivo desta dissertação é fornecer uma análise da atual economia do cripto moeda, que ainda é vaga para um grande número de investidores. Os resultados das regressões sugerem algumas semelhanças, mas limitadas, com a existência de momentum no mercado actionista. O objetivo da dissertação é examinar a rentabilidade das estratégias de investimento usando médias móveis de 3, 9 e 30 dias que só foram testadas numa média móvel de longo prazo e a viabilidade da estratégia ajustar a alavancagem para atingir uma volatilidade alvo que ainda não foi implementada nos mercados de Bitcoin. Os resultados mostram que as estratégias usando médias móveis médias superam significativamente o benchmark Buy-and-Hold Bitcoin, mas aumentam o risco de curtose excessiva mais elevado. A estratégia de volatilidade alvo não produziu a diminuição desejada do risco de ordem superior. No entanto, esse resultado não descarta a possibilidade de que a aplicação de um modelo de preços de ativos mais sofisticado possa diminuir ainda mais a curtose excessiva, o que parece problemático para um âmbito mais alargado de investidores, uma vez que existe um risco contínuo de perdas extremas nos mercados de cripto moeda

ESG in the financial industry: What matters for rating analysts?

This paper examines ESG rating analysts' views from Sustainalytics in order to highlight the main ESG features discussed across 11 sectors. We perform a topic modeling and a sentiment analysis to identify the content of analysts' opinions on the companies' ESG performance and to uncover the embedded sentiment associated with each ESG feature. The results of the topic modeling consist of 13 topics with a sector driven distribution. The analysis suggests that the best ESG performing financial institutions show to be actively committed to the code of best practice in governance and disclosure transparency. Whereas penalized financial entities seem to manifest less attention to ethical conduct and mis-selling. Furthermore, data privacy and security attract analysts' attention and should be closely monitored by financial entities. Finally, it is important to actively disclose ESG activities as the more information is available the better ESG commitment is reflected in analysts' views

D1.1 DEMAND ASSESSMENT FRAMEWORK

This report proposes the initial draft of the LeADS ADS Framework composed by three major elements; identification and definition of technologies in scope; skills included under those technologies, and definition of job roles, where other skills frameworks are considered for comparison and alignment. The report summarises the first workshop held by the project with external constituencies even though the feedback will be incorporated in the final version of the framework, where the layer of job roles will be completed, and the others revised according to additional input. This framework serves as reference for the next step in LeADS: the assessment of the demand and the supply

Academic digital libraries of the future : an environment scan

Libraries are attempting to face a future in which almost every fixed point has disappeared. Users are changing; content is changing; research is taking new forms. Indeed the very need for libraries is being questioned in some quarters. This paper explores the nature of the changes and challenges facing higher education libraries and suggests key areas of strength and core activities which should be exploited to secure their future

Data Mining in Electronic Commerce

Modern business is rushing toward e-commerce. If the transition is done properly, it enables better management, new services, lower transaction costs and better customer relations. Success depends on skilled information technologists, among whom are statisticians. This paper focuses on some of the contributions that statisticians are making to help change the business world, especially through the development and application of data mining methods. This is a very large area, and the topics we cover are chosen to avoid overlap with other papers in this special issue, as well as to respect the limitations of our expertise. Inevitably, electronic commerce has raised and is raising fresh research problems in a very wide range of statistical areas, and we try to emphasize those challenges.Comment: Published at http://dx.doi.org/10.1214/088342306000000204 in the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org