On using text analytics for event studies

Abstract

Event studies seek convincing evidence connecting behavior with a known or conjectured event. Originating in finance, event studies have spread to and become established in many other fields, including law. Multiple regression modeling, the standard methodology for doing event studies, may not be ideally suited for event studies based on data derived from bodies of text, since the required distributional assumptions may be problematic. This paper reports on an exploratory study that uses text analytic methods to discern events. The study draws upon and extends a previously published study of the speeches made by the CEO of a tobacco company in the years surrounding the tobacco settlement in 1998. Examining SEC filings from three major tobacco companies, the study reported in this paper finds cause for optimism in the use of text analytics to discern and investigate events of interest in law.

What do firms say in reporting on impacts of climate change? An approach to monitoring ESG actions and environmental policy

“…behavior surrounding an event (Birindelli & Chiappini, 2021;Kimbrough et al, 2011;Landmann & Zuell, 2008). We develop associated hypotheses and find compelling evidence that indeed discussion of climate change picked up dramatically in 2010 and largely maintained or increased its level during the ensuing 10 years.…”

“…This question is important because by analyzing the changes, if any, we can learn something about how well firms comply with the regulations and cope with the pressure deriving from climate change. Moreover, this compliance question is an example of a kind of question that is broadly of interest: behavior surrounding an event (Birindelli & Chiappini, 2021; Kimbrough et al, 2011; Landmann & Zuell, 2008). We develop associated hypotheses and find compelling evidence that indeed discussion of climate change picked up dramatically in 2010 and largely maintained or increased its level during the ensuing 10 years.…”