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Stocks Yearly Risk Factors

The risk factors companies disclose in their annual reports since 2015, each classified in a three-level taxonomy, with the passage that supports the label.

Shape measured at the next refresh of dataset_cards/facts.json. Refreshed monthly.

Why It Matters

Item 1A of the 10-K is where a company says what it fears. The papers on disclosed risk -- the count and novelty of risk factors as a predictor of volatility, the cross-section of firms exposed to one named risk (a supplier, a regulator, a currency, a climate), the text-based peer groups -- had no classified source. Here each disclosed risk is one row with its category, so a paper selects the firms citing a given risk in a given year without reading the documents.

Rows carry the filer's CIK and a symbol resolved from it through the tickers reference and the EDGAR index, one ticker per filer. Registrants with no listed equity at all -- private companies with public debt, trusts, subsidiaries -- and delisted names whose CIK neither reference knows are not in this copy: no strategy can hold them. Measured on the source, that is the larger part of the filers in the early years and a shrinking one since, so the coverage is of the listed market, not of EDGAR. date is the filing date, the day the text became public.

Load It

pip install --upgrade pwb-toolbox
from pwb_toolbox import datasets as pwb_ds

df = pwb_ds.load_dataset("Stocks-Yearly-RiskFactors", symbols=["AAPL"])
print(df.iloc[-1, :])

Columns

Column Name Description
symbol Ticker resolved from the filer's CIK.
date Filing date on EDGAR.
cik Filer's SEC Central Index Key.
primary_category / secondary_category / tertiary_category The taxonomy, from the broad family to the specific risk.
supporting_text The passage of item 1A the classification rests on.
filing_url The document on sec.gov.

Access

Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers every dataset in this organisation and the strategy catalogue.

Elsewhere

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