中国科学院科技战略咨询研究院机构知识库

Most of the existing studies measure the risk dependence between corporations based on quantitative market data, which is susceptible to interference from market speculative behaviors. This paper innovatively studies the risk dependence between the energy corporations based on their textual risk disclosures in annual financial reports, which can fully reflect their fundamentals and avoid market speculation. The risk dependence between energy corporations is measured by the similarity of the disclosed risk factors faced by them. The empirical analysis discusses the risk dependence of 482 U.S. energy corporations based on the textual risk disclosures of 3,390 10-K filings from 2005 to 2017. The results show that the text-based risk dependence between the energy corporations is informative about their future stock co-movement.