1{2 "validation_errors": [],3 "doc_id": "jof_12885",4 "ontology_version": "1.0",5 "prompt_version": "1.0",6 "model": "claude-opus-5-5",7 "effort": "medium",8 "annotated_at": "2026-11-03T23:13:14+00:00",9 "source_sha256": "071d9e4ae7f243c5f2e5e45d2e9e492e0ea7e87599535e0472038c1b2b72310a",10 "parser": "pymupdf-jof-heuristics-1.3",11 "payload_chars": 35248,12 "usage": {13 "input": 11785,14 "output": 2435,15 "cache_read": 3968,16 "cache_write": 017 },18 "cost_usd": 0.096634,19 "request_id": "req_011Cggqo4KnaQ5nnwqRUkZHQ",20 "annotation": {21 "genre": "empirical",22 "subfield": "asset_pricing",23 "subfield_secondary": "behavioral_finance",24 "primary_method": "machine_learning_textual",25 "identification": {26 "estimand": "Predictive relation between year-over-year textual similarity of firms' 10-K/10-Q filings and their subsequent abnormal returns and real outcomes.",27 "strategy": "Textual similarity measures (cosine, Jaccard, minimum edit distance, simple comparison) feed calendar-time quintile portfolio sorts with factor alphas and Fama-MacBeth regressions with known return predictors as controls. Interactions with SEC EDGAR download-based attention proxies probe the inattention mechanism.",28 "key_assumptions": [29 "Factor models and controls adequately capture risk",30 "Joint downloading of current and prior 10-Ks proxies for investors comparing filings",31 "Return predictability is not due to coincident news or firm events"32 ],33 "threats_addressed": [34 "traditional risk factors",35 "known return predictors",36 "earnings surprises and coincident news",37 "special firm events such as M&A and SEOs",38 "document length and length changes",39 "transaction costs and limits to arbitrage",40 "small-firm concentration",41 "overreaction and reversal"42 ],43 "causal_language_strength": 2,44 "uses_causal_claim": false45 },46 "abstract_moves": {47 "question": {48 "present": false,49 "sentence_index": -150 },51 "gap": {52 "present": false,53 "sentence_index": -154 },55 "method": {56 "present": true,57 "sentence_index": 058 },59 "results": {60 "present": true,61 "sentence_index": 062 },63 "magnitude": {64 "present": true,65 "sentence_index": 166 },67 "contribution": {68 "present": true,69 "sentence_index": 370 }71 },72 "introduction": {73 "moves": [74 {75 "paragraph_index": 0,76 "move": "motivation"77 },78 {79 "paragraph_index": 1,80 "move": "literature_gap"81 },82 {83 "paragraph_index": 2,84 "move": "contribution_statement"85 },86 {87 "paragraph_index": 3,88 "move": "motivation"89 },90 {91 "paragraph_index": 4,92 "move": "other"93 },94 {95 "paragraph_index": 5,96 "move": "other"97 },98 {99 "paragraph_index": 6,100 "move": "other"101 },102 {103 "paragraph_index": 7,104 "move": "other"105 },106 {107 "paragraph_index": 8,108 "move": "other"109 },110 {111 "paragraph_index": 9,112 "move": "preview_of_approach"113 },114 {115 "paragraph_index": 10,116 "move": "preview_of_results"117 },118 {119 "paragraph_index": 11,120 "move": "identification_defense"121 },122 {123 "paragraph_index": 12,124 "move": "preview_of_results"125 },126 {127 "paragraph_index": 13,128 "move": "preview_of_results"129 },130 {131 "paragraph_index": 14,132 "move": "mechanism_or_theory_sketch"133 },134 {135 "paragraph_index": 15,136 "move": "robustness_mention"137 },138 {139 "paragraph_index": 16,140 "move": "robustness_mention"141 },142 {143 "paragraph_index": 17,144 "move": "mechanism_or_theory_sketch"145 },146 {147 "paragraph_index": 18,148 "move": "preview_of_approach"149 },150 {151 "paragraph_index": 19,152 "move": "roadmap"153 }154 ],155 "contribution_paragraph_index": 2,156 "contribution_types": [157 "new_evidence",158 "new_data_or_measure"159 ],160 "roadmap_present": true,161 "literature_positioning_location": "both"162 },163 "section_roles": [164 {165 "idx": 0,166 "role": "introduction"167 },168 {169 "idx": 1,170 "role": "literature"171 },172 {173 "idx": 2,174 "role": "data"175 },176 {177 "idx": 3,178 "role": "results"179 },180 {181 "idx": 4,182 "role": "results"183 },184 {185 "idx": 5,186 "role": "conclusion"187 }188 ],189 "results_presentation": {190 "economic_significance_discussed": true,191 "statistical_significance_language": "stars_and_tstats",192 "magnitude_statements_in_intro": true193 },194 "robustness": {195 "location": "mixed",196 "types": [197 "alternative_measure",198 "alternative_specification",199 "subsample",200 "other"201 ]202 },203 "tables": {204 "convention_notes": "Table notes define variables and similarity measures, state that returns are multiplied by 100, and name the factor models used. Market value of equity is reported in $1,000. Panels cover portfolio alphas and Fama-MacBeth estimates.",205 "units_stated_in_notes": true,206 "standard_errors_description": "unclear"207 },208 "figures": {209 "uncertainty_shown": "unclear"210 },211 "conclusion": {212 "bounded_claims": true,213 "policy_implications": false,214 "open_questions": true,215 "restates_contribution": true216 },217 "hedging": {218 "level": "moderate",219 "typical_devices": [220 "suggesting",221 "consistent with",222 "perhaps",223 "plausibly",224 "appears to",225 "suggestive evidence"226 ]227 },228 "claim_evidence": [229 {230 "claim": "Average 10-K length and the number of year-over-year textual changes grew sharply from 1995 to 2014.",231 "evidence_type": "figure",232 "evidence_ref": "Figure 1"233 },234 {235 "claim": "Baxter's 2009 10-K changes foreshadowed recall news; the price did not react at filing but fell later.",236 "evidence_type": "figure",237 "evidence_ref": "Figures 2-5"238 },239 {240 "claim": "A long-nonchangers, short-changers portfolio earns significant value-weighted abnormal returns that persist up to 18 months without reversal.",241 "evidence_type": "table",242 "evidence_ref": "Table II, Figure 7"243 },244 {245 "claim": "Similarity predicts returns after controlling for known return predictors.",246 "evidence_type": "table",247 "evidence_ref": "Tables IV, XI"248 },249 {250 "claim": "Changes in the Risk Factors section yield five-factor alphas over 188 bp per month.",251 "evidence_type": "table",252 "evidence_ref": "Table VII, Figure 9"253 },254 {255 "claim": "Return predictability is attenuated when more investors jointly download current and prior 10-Ks.",256 "evidence_type": "table",257 "evidence_ref": "Table VIII"258 },259 {260 "claim": "Filing changes predict lower future operating income, net income and sales.",261 "evidence_type": "table",262 "evidence_ref": "Table X"263 },264 {265 "claim": "Changer firms are larger and cheaper to short than nonchangers, arguing against limits to arbitrage.",266 "evidence_type": "table",267 "evidence_ref": "Table III"268 }269 ],270 "structural_summary": "Opens with a Grossman-Stiglitz framing of rising information-processing costs. Challenges the prior conclusion that 10-Ks have become less informative. Uses a detailed single-firm case (Baxter) to illustrate the pattern before generalizing to the full cross-section. Previews portfolio alphas, the absence of an announcement effect, section-level mechanism results, real effects, an asymmetry explanation, robustness checks and novel SEC download-based attention data. The body runs literature, then data, then main return results (portfolio sorts and Fama-MacBeth regressions), then an extended mechanism section that also contains robustness checks. The conclusion restates the inattention interpretation and suggests other document types for future research.",271 "writing_profile_keywords": [272 "textual analysis",273 "investor inattention",274 "return predictability",275 "anecdote-driven motivation",276 "calendar-time portfolios",277 "Fama-MacBeth",278 "novel FOIA data",279 "no announcement effect"280 ],281 "confidence": 0.85,282 "notes": "The intro and conclusion report portfolio returns of roughly 30 to 58 bp per month, while the abstract cites 'up to 188' bp, which comes from the Risk Factors section sort. Section IV, labeled 'Mechanism', also contains robustness checks."283 },284 "deterministic_checks": {285 "roadmap_regex": true,286 "contribution_regex_in_intro": false,287 "magnitude_in_abstract": true,288 "abstract_n_sentences": 14,289 "intro_n_paragraphs": 20,290 "intro_n_words": 2701,291 "causal_words_in_abstract": 0,292 "hedge_words_in_abstract": 0,293 "stars_mentioned": false,294 "clustered_se_mentioned": false,295 "internet_appendix_mentioned": false,296 "section_roles_rule": {297 "0": "introduction",298 "1": "literature",299 "2": "data",300 "3": "other",301 "4": "robustness",302 "5": "conclusion"303 }304 },305 "schema_valid": true,306 "code_version": "87c73cd-dirty"307}