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Developing a hierarchical system for energy corporate risk factors based on textual risk disclosures

Published on May 1, 2019in Energy Economics 4.15
· DOI :10.1016/j.eneco.2019.01.020
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Guowen Li2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 2 AuthorsJianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences)
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Abstract
Abstract Selecting risk factors is essential for measuring energy corporate risk. However, the comprehensive identification of energy corporate risk factors is still a difficult issue. This paper innovatively uses the text mining approach to comprehensively identify energy corporate risk factors from textual risk disclosures reported in financial statements. Based on 131,755 risk factor headings from 3707 Form 10-K filings from 840 U.S. energy corporations over the period 2010–2016, 66 types of risk factors that affect energy corporate risks are identified. Furthermore, we develop a hierarchical system for 66 energy corporate risk factors by dividing energy corporations into nine subsectors. Thus, the hierarchical energy corporate risk factor system provides fundamental support for further energy corporate risk measurement. Researchers can comprehensively and effectively select risk factors in measuring risks of the entire energy industry or each of nine energy subsectors.
  • References (32)
  • Citations (7)
Cite
References32
Newest
Published on Jun 1, 2019in Economic Modelling 2.06
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics),
Lei Lei1
Estimated H-index: 1
(CUNY: City University of New York)
+ 1 AuthorsAli M. Kutan33
Estimated H-index: 33
(SIUE: Southern Illinois University Edwardsville)
Abstract The recent US-China trade conflict has caused substantial uncertainty in the global markets. What is the rationale of this conflict? Is the rising of Chinese economy imposing a realistic threat to the US-led post-war international system? Using economic policy uncertainty in each of these two key global economic players as a measure of policy stance, this paper builds a time series model following Diebold and Yilmaz (2014) to estimate the influence of both the US and China on several ke...
Published on Mar 1, 2019in Finance Research Letters 1.71
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics)
Abstract The launching of China’s first crude oil futures contract has marked the start of a new era in the international energy market. Using high frequency transaction data in the first two trading months since its inception in March 2018, this paper seeks to present some fresh and interesting stylized facts about this new comer. Evidence shows that, first, significant jumps exist in the realized volatility; Second, trading volumes have shown clear multiple u-shape patterns, which is consisten...
Published on Sep 1, 2018in Energy Economics 4.15
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Bouri Elie16
Estimated H-index: 16
(Holy Spirit University of Kaslik)
+ 1 AuthorsSyed Jawad Hussain Shahzad13
Estimated H-index: 13
Unlike previous studies, we employ a relatively newer modelling technique — a time-varying copula with a switching dependence — to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way. Because the dependence may switch between positive and negative correlation regimes over time, a dependence-switching copula more appropriately and realistically captures a dependence structure than a single copula regime. Our findings indicate that the ...
Published on Aug 1, 2018in International Review of Financial Analysis 1.69
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics),
David C. Broadstock11
Estimated H-index: 11
(PolyU: Hong Kong Polytechnic University)
Abstract This paper documents a dramatic change in the nature of connectedness in global commodity prices following the 2008 global financial crisis. We show that co-dependence in price-changes among seven major commodity classes goes from a pre-crisis average of 14.82% to a strikingly larger average of 47.87% in the period following the crisis, and which has endured until now. Dynamic swings in price co-movements of such a scale present a clear concern for financial investors and are of immedia...
Published on Aug 1, 2018in International Review of Financial Analysis 1.69
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Bing-Yue Liu6
Estimated H-index: 6
(Beihang University)
+ 1 AuthorsYing Fan36
Estimated H-index: 36
(Beihang University)
Abstract This paper investigates the dynamic dependence and risk spillover between BRICS stock returns and different types of oil shocks, combining the Structural VAR model and time-varying copula-GARCH-based CoVaR approach. Our findings indicate that the dependence between BRICS stock returns and oil shocks is time-varying and exhibits different behaviours depending on the shock types in the oil market. In general, the shape of the CoVaRs in each country is comparatively different, depending on...
Published on May 1, 2018in International Review of Financial Analysis 1.69
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Bouri Elie16
Estimated H-index: 16
(Holy Spirit University of Kaslik),
David Roubaud16
Estimated H-index: 16
We contribute to the growing literature on information flow among US equities, strategic commodities (oil and gold) and Brazil, Russia, India, China and South Africa equities. Unlike prior literature, however, we apply a graph theory approach that incorporates a dynamic conditional correlation model to disclose the dynamics of information integration and investigate the impact of political, war, macroeconomic and financial events on the changes in information flow among implied volatility indice...
Published on Mar 1, 2018in Energy Policy 4.88
Tarit Kumar Baul6
Estimated H-index: 6
(University of Eastern Finland),
D. Datta1
Estimated H-index: 1
(University of Chittagong),
Ashraful Alam8
Estimated H-index: 8
(University of Eastern Finland)
In developing countries, securing clean and equal energy access for all is often constrained by lack of understanding of households’ energy dependency and influencing factors. This study investigates household-level energy consumption patterns, relevant socioeconomic factors and carbon-emissions from various energy sources. Using a semi-structured questionnaire, we conducted an explorative survey of 189 households in three income groups in a suburban region of Chittagong, Bangladesh. Results sug...
Published on Nov 1, 2017in Journal of Accounting and Economics 3.75
Gregory S. Miller18
Estimated H-index: 18
(UM: University of Michigan)
Dyer et al. (2017) examines trends in 10-K textual disclosure from 1996–2013. Using a set of variables from prior textual research, they show a decrease in characteristics generally considered desirable and an increase in attributes considered undesirable. The trend is driven by disclosures to comply with new regulatory reporting standards. The study takes a high-level approach allowing an overview perspective. However, that approach also means readers should take caution in reaching strong conc...
Published on Nov 1, 2017in Journal of Accounting and Economics 3.75
Travis Dyer2
Estimated H-index: 2
(UNC: University of North Carolina at Chapel Hill),
Mark H. Lang31
Estimated H-index: 31
(UNC: University of North Carolina at Chapel Hill),
Lorien Stice-Lawrence1
Estimated H-index: 1
(SC: University of Southern California)
We document marked trends in 10-K disclosure over the period 1996–2013, with increases in length, boilerplate, stickiness, and redundancy and decreases in specificity, readability, and the relative amount of hard information. We use Latent Dirichlet Allocation (LDA) to examine specific topics and find that new FASB and SEC requirements explain most of the increase in length and that 3 of the 150 topics—fair value, internal controls, and risk factor disclosures—account for virtually all of the in...
Published on Feb 1, 2017in Energy Economics 4.15
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics)
This paper contributes to the large volume of empirical studies on the relationship between oil shocks and stock markets from a new systemic perspective. The method of measuring connectedness proposed by Diebold and Yilmaz (2009, 2012, 2014) is adopted to study the relationship between oil shocks and returns at six major stock markets around the world. It is shown that the contribution of oil shocks to the world financial system is limited. Oil price changes, however, can be explained by informa...
Cited By7
Newest
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Guowen Li2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsXiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences)
Abstract Approaches based on financial statements are important to the field of bank risk aggregation. However, previous studies only used numerical data recorded in financial statements to aggregate bank risk. Time lags in numerical data can bias risk aggregation results. Thus, this paper first incorporates forward-looking textual risk disclosures reported in financial statements into bank risk aggregation. In doing so, we overcome the drawback of risk aggregation resulting from using only hist...
Published on Jul 1, 2019in Energy Economics 4.15
Dayong Zhang13
Estimated H-index: 13
(SWUFE: Southwestern University of Finance and Economics),
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences)
Published on Apr 29, 2019in Applied Economics Letters 0.59
Xiuwen Chen2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences),
Jianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences)
ABSTRACTThis paper provides evidence for the impact of oil price shocks on economic policy uncertainty (EPU) from a multi-scale perspective using discrete wavelet transform and VAR model. Results indicate that oil price shocks impose a positive effect on EPU at an original level while effects of oil price shocks on EPU are time-varying over different time-scales. Particularly, oil price shocks lead to a positive change in the trend of EPU in the short- and long-term. Whereas, in the medium term,...
Published on Mar 31, 2019in Journal of Risk Research 1.70
Chunbing Bao3
Estimated H-index: 3
,
Jie Wan1
Estimated H-index: 1
+ 1 AuthorsJianping LiXiaolei19
Estimated H-index: 19
AbstractRisk matrices have been proven as useful risk management tools, especially in the cases where data are not sufficient. Current usage of risk matrices in both literature and practice is related to single risk assessment. However, sometimes the decision makers care more about the overall risk consisting of several of single risks, which is in the scope of the aggregation of single risks measured by risk matrices. Unfortunately, two notions, namely, incomparability of different qualitative ...
Published on Mar 22, 2019in Electronic Commerce Research 1.94
Jianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences),
Yinhong Yao (CAS: Chinese Academy of Sciences)+ 3 AuthorsXiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences)
Understanding consumer’s risk perception on the Belt and Road (B&R) countries is important for the development of cross-border e-commerce (CBEC) along these countries. However, most of the extant studies cannot properly analyze consumer’s risk perception due to the limited data collected by questionnaires. Therefore, this study proposes a text-mining-based framework to study consumer’s risk perception on the B&R countries based on massive textual online reviews collected from CBEC. In the propos...
Published on Feb 19, 2019in Accounting and Finance 1.48
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Guowen Li2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsJianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences)
Published on Feb 1, 2019in Finance Research Letters 1.71
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Jianping Li (CAS: Chinese Academy of Sciences), Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences)
Abstract This paper examines information spillover between WTI returns and investor sentiment indices measured by various trader positions using a connectedness approach. Our findings show that sentiment by trader type is highly correlated with WTI returns. Among the different sentiment types, speculator sentiment makes the largest contribution to WTI returns variation over the full sample period. The dynamic results show that the influence of investor sentiment increases significantly when oil ...