File size: 25,651 Bytes
605b488
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
 
 
 
 
 
33f74eb
 
 
 
 
 
 
 
 
 
 
 
63c7c54
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
 
 
 
 
 
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
 
 
 
 
 
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
33f74eb
 
63c7c54
33f74eb
 
63c7c54
33f74eb
63c7c54
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
605b488
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
33f74eb
 
 
 
 
 
 
63c7c54
 
 
 
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
33f74eb
63c7c54
33f74eb
 
 
 
 
 
 
63c7c54
33f74eb
 
63c7c54
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
63c7c54
 
33f74eb
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
5da7e3c
 
 
 
 
 
 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
---
annotations_creators:
  - expert-generated
language:
  - en
language_creators:
  - expert-generated
license:
  - apache-2.0
multilinguality:
  - monolingual
pretty_name: US public firm Annual Reports (10-K)
size_categories:
  - 10M<n<100M
source_datasets:
  - extended|other
tags:
  - "'finance"
  - financial
  - 10-K
  - 10K
  - 10k
  - 10-k
  - annual
  - reports
  - sec
  - edgar
  - sentiment
  - firm
  - public
  - us'
task_categories:
  - fill-mask
  - text-classification
task_ids:
  - masked-language-modeling
  - multi-class-classification
  - sentiment-classification
dataset_info:
  - config_name: large_lite
    features:
      - name: cik
        dtype: string
      - name: sentence
        dtype: string
      - name: section
        dtype:
          class_label:
            names:
              "0": section_1
              "1": section_10
              "2": section_11
              "3": section_12
              "4": section_13
              "5": section_14
              "6": section_15
              "7": section_1A
              "8": section_1B
              "9": section_2
              "10": section_3
              "11": section_4
              "12": section_5
              "13": section_6
              "14": section_7
              "15": section_7A
              "16": section_8
              "17": section_9
              "18": section_9A
              "19": section_9B
      - name: labels
        struct:
          - name: 1d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
          - name: 5d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
          - name: 30d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
      - name: filingDate
        dtype: string
      - name: docID
        dtype: string
      - name: sentenceID
        dtype: string
      - name: sentenceCount
        dtype: int64
    splits:
      - name: train
        num_bytes: 16424576472
        num_examples: 67316227
      - name: validation
        num_bytes: 423527281
        num_examples: 1585561
      - name: test
        num_bytes: 773116540
        num_examples: 2965174
    download_size: 13362319126
    dataset_size: 17621220293
  - config_name: large_full
    features:
      - name: cik
        dtype: string
      - name: sentence
        dtype: string
      - name: section
        dtype:
          class_label:
            names:
              "0": section_1
              "1": section_10
              "2": section_11
              "3": section_12
              "4": section_13
              "5": section_14
              "6": section_15
              "7": section_1A
              "8": section_1B
              "9": section_2
              "10": section_3
              "11": section_4
              "12": section_5
              "13": section_6
              "14": section_7
              "15": section_7A
              "16": section_8
              "17": section_9
              "18": section_9A
              "19": section_9B
      - name: labels
        struct:
          - name: 1d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
          - name: 5d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
          - name: 30d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
      - name: filingDate
        dtype: string
      - name: name
        dtype: string
      - name: docID
        dtype: string
      - name: sentenceID
        dtype: string
      - name: sentenceCount
        dtype: int64
      - name: tickers
        list: string
      - name: exchanges
        list: string
      - name: entityType
        dtype: string
      - name: sic
        dtype: string
      - name: stateOfIncorporation
        dtype: string
      - name: tickerCount
        dtype: int32
      - name: acceptanceDateTime
        dtype: string
      - name: form
        dtype: string
      - name: reportDate
        dtype: string
      - name: returns
        struct:
          - name: 1d
            struct:
              - name: closePriceEndDate
                dtype: float32
              - name: closePriceStartDate
                dtype: float32
              - name: endDate
                dtype: string
              - name: startDate
                dtype: string
              - name: ret
                dtype: float32
          - name: 5d
            struct:
              - name: closePriceEndDate
                dtype: float32
              - name: closePriceStartDate
                dtype: float32
              - name: endDate
                dtype: string
              - name: startDate
                dtype: string
              - name: ret
                dtype: float32
          - name: 30d
            struct:
              - name: closePriceEndDate
                dtype: float32
              - name: closePriceStartDate
                dtype: float32
              - name: endDate
                dtype: string
              - name: startDate
                dtype: string
              - name: ret
                dtype: float32
    splits:
      - name: train
        num_bytes: 39306095718
        num_examples: 67316227
      - name: validation
        num_bytes: 964030458
        num_examples: 1585561
      - name: test
        num_bytes: 1785383996
        num_examples: 2965174
    download_size: 13362319126
    dataset_size: 42055510172
  - config_name: small_full
    features:
      - name: cik
        dtype: string
      - name: sentence
        dtype: string
      - name: section
        dtype:
          class_label:
            names:
              "0": section_1
              "1": section_1A
              "2": section_1B
              "3": section_2
              "4": section_3
              "5": section_4
              "6": section_5
              "7": section_6
              "8": section_7
              "9": section_7A
              "10": section_8
              "11": section_9
              "12": section_9A
              "13": section_9B
              "14": section_10
              "15": section_11
              "16": section_12
              "17": section_13
              "18": section_14
              "19": section_15
      - name: labels
        struct:
          - name: 1d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
          - name: 5d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
          - name: 30d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
      - name: filingDate
        dtype: string
      - name: name
        dtype: string
      - name: docID
        dtype: string
      - name: sentenceID
        dtype: string
      - name: sentenceCount
        dtype: int64
      - name: tickers
        list: string
      - name: exchanges
        list: string
      - name: entityType
        dtype: string
      - name: sic
        dtype: string
      - name: stateOfIncorporation
        dtype: string
      - name: tickerCount
        dtype: int32
      - name: acceptanceDateTime
        dtype: string
      - name: form
        dtype: string
      - name: reportDate
        dtype: string
      - name: returns
        struct:
          - name: 1d
            struct:
              - name: closePriceEndDate
                dtype: float32
              - name: closePriceStartDate
                dtype: float32
              - name: endDate
                dtype: string
              - name: startDate
                dtype: string
              - name: ret
                dtype: float32
          - name: 5d
            struct:
              - name: closePriceEndDate
                dtype: float32
              - name: closePriceStartDate
                dtype: float32
              - name: endDate
                dtype: string
              - name: startDate
                dtype: string
              - name: ret
                dtype: float32
          - name: 30d
            struct:
              - name: closePriceEndDate
                dtype: float32
              - name: closePriceStartDate
                dtype: float32
              - name: endDate
                dtype: string
              - name: startDate
                dtype: string
              - name: ret
                dtype: float32
    splits:
      - name: train
        num_bytes: 128731540
        num_examples: 200000
      - name: validation
        num_bytes: 13411689
        num_examples: 20000
      - name: test
        num_bytes: 13188331
        num_examples: 20000
    download_size: 42764380
    dataset_size: 155331560
  - config_name: small_lite
    features:
      - name: cik
        dtype: string
      - name: sentence
        dtype: string
      - name: section
        dtype:
          class_label:
            names:
              "0": section_1
              "1": section_1A
              "2": section_1B
              "3": section_2
              "4": section_3
              "5": section_4
              "6": section_5
              "7": section_6
              "8": section_7
              "9": section_7A
              "10": section_8
              "11": section_9
              "12": section_9A
              "13": section_9B
              "14": section_10
              "15": section_11
              "16": section_12
              "17": section_13
              "18": section_14
              "19": section_15
      - name: labels
        struct:
          - name: 1d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
          - name: 5d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
          - name: 30d
            dtype:
              class_label:
                names:
                  "0": positive
                  "1": negative
      - name: filingDate
        dtype: string
      - name: docID
        dtype: string
      - name: sentenceID
        dtype: string
      - name: sentenceCount
        dtype: int64
    splits:
      - name: train
        num_bytes: 60681688
        num_examples: 200000
      - name: validation
        num_bytes: 6677389
        num_examples: 20000
      - name: test
        num_bytes: 6351730
        num_examples: 20000
    download_size: 42764380
    dataset_size: 73710807
---

# Dataset Card for [financial-reports-sec]

## Table of Contents

- [Table of Contents](#table-of-contents)
- [Dataset Description](#dataset-description)
  - [Dataset Summary](#dataset-summary)
  - [Dataset Configurations](#dataset-configurations)
  - [Usage](#usage)
  - [Supported Tasks](#supported-tasks)
  - [Languages](#languages)
- [Dataset Structure](#dataset-structure)
  - [Data Instances](#data-instances)
  - [Data Fields](#data-fields)
  - [Data Splits](#data-splits)
  - [Dataset Summary Statistics](#dataset-summary-statistics)
- [Dataset Creation](#dataset-creation)
  - [Curation Rationale](#curation-rationale)
  - [Source Data](#source-data)
  - [Annotations](#annotations)
  - [Personal and Sensitive Information](#personal-and-sensitive-information)
- [Considerations for Using the Data](#considerations-for-using-the-data)
  - [Social Impact of Dataset](#social-impact-of-dataset)
  - [Discussion of Biases](#discussion-of-biases)
  - [Other Known Limitations](#other-known-limitations)
- [Additional Information](#additional-information)
  - [Dataset Curators](#dataset-curators)
  - [Licensing Information](#licensing-information)
  - [References](#references)
  - [Citation Information](#citation-information)

## Dataset Description

- **Point of Contact: Aman Khan**

### Dataset Summary

The dataset contains the annual report of US public firms filing with the SEC EDGAR system from 1993-2020. Each annual report (**10K filing**) is broken into 20 sections. Each section is split into individual sentences. Sentiment labels are provided on a **per filing basis** from the market reaction around the filing date for 3 different time windows _[t-1, t+1]_, _[t-1, t+5]_ and _[t-1, t+30]_. Additional metadata for each filing is included in the dataset.

### Dataset Configurations

**Four** configurations are available:

- _**large_lite**_:
  - Contains only the basic features needed. Extra metadata is ommitted.
  - Features List:
    - **cik**
    - **sentence**
    - **section**
    - **labels**
    - **filingDate**
    - **docID**
    - **sentenceID**
    - **sentenceCount**
- _**large_full**_:
  - All features are included.
  - Features List (excluding those already in the lite verison above):
    - **name**
    - **tickers**
    - **exchanges**
    - **entityType**
    - **sic**
    - **stateOfIncorporation**
    - **tickerCount**
    - **acceptanceDateTime**
    - **form**
    - **reportDate**
    - **returns**
- _**small_lite**_:
  - Same as _**large_lite**_ version except that only (200,000/20,000/20,000) sentences are loaded for (train/test/validation) splits.
- _**small_full**_:
  - Same as _**large_full**_ version except that only (200,000/20,000/20,000) sentences are loaded for (train/test/validation) splits.

### Usage

```python
import datasets

# Load the lite configuration of the dataset
raw_dataset = datasets.load_dataset("JanosAudran/financial-reports-sec", "large_lite")

# Load a specific split
raw_dataset = datasets.load_dataset("JanosAudran/financial-reports-sec", "small_full", split="train")
```

### Supported Tasks

The tasks the dataset can be used directly for includes:

- _Masked Language Modelling_
  - A model like BERT can be fine-tuned on this corpus of financial text.
- _Sentiment Analysis_
  - For each annual report a label ["positive", "negative"] is provided based on the market reaction around the filing date (refer to [Annotations](#annotations)).
- _Next Sentence Prediction/Sentence Order Prediction_
  - Sentences extracted from the filings are in their original order and as such the dataset can be adapted very easily for either of these tasks.

### Languages

All sentences are in English.

## Dataset Structure

### Data Instances

Refer to dataset preview.

### Data Fields

**Feature Name**

- Description
- Data type
- Example/Structure

**cik**

- 10 digit identifier used by SEC for a firm.
- _string_
- '0000001750'

**sentence**

- A single sentence from the 10-K filing.
- _string_
- 'The finance agreement is secured by a first priority security interest in all insurance policies, all unearned premium, return premiums, dividend payments and loss payments thereof.'

**section**

- The section of the 10-K filing the sentence is located.
- _ClassLabel_
- ```python
  ClassLabel(names=['section_1', 'section_10', 'section_11', 'section_12', 'section_13', 'section_14', 'section_15', 'section_1A', 'section_1B', 'section_2','section_3', 'section_4', 'section_5', 'section_6', 'section_7', 'section_7A','section_8', 'section_9', 'section_9A', 'section_9B'], id=None)
  ```

**labels**

- The sentiment label for the entire filing (_**positve**_ or _**negative**_) based on different time windows.
- _Dict of ClassLables_
- ```python
  {
    '1d': ClassLabel(names=['positive', 'negative'], id=None),
    '5d': ClassLabel(names=['positive', 'negative'], id=None),
    '30d': ClassLabel(names=['positive', 'negative'], id=None)
  }
  ```

**filingDate**

- The date the 10-K report was filed with the SEC.
- _string_
- '2021-03-10'

**docID**

- Unique ID for identifying the exact 10-K filing. Unique across all configs and splits. Can be used to identify the document from which the sentence came from.
- _string_
- '0000001750_10-K_2020'

**sentenceID**

- Unique ID for identifying the exact sentence. Unique across all configs and splits.
- _string_
- '0000001750_10-K_2020_section_1_100'

**sentenceCount**

- Integer identiying the running sequence for the sentence. Unique **only** for a given config and split.
- _string_
- 123

**name**

- The name of the filing entity
- _string_
- 'Investar Holding Corp'

**tickers**

- List of ticker symbols for the filing entity.
- _List of strings_
- ['ISTR']

**exchanges**

- List of exchanges for the filing entity.
- _List of strings_
- ['Nasdaq']

**entityType**

- The type of entity as identified in the 10-K filing.
- _string_
- 'operating'

**sic**

- Four digit SIC code for the filing entity.
- _string_
- '6022'

**stateOfIncorporation**

- Two character code for the state of incorporation for the filing entity.
- _string_
- 'LA'

**tickerCount**

- _**Internal use**_. Count of ticker symbols. Always 1.
- _int_
- 1

**acceptanceDateTime**

- The full timestamp of when the filing was accepted into the SEC EDGAR system.
- _string_
- '2021-03-10T14:26:11.000Z'

**form**

- The type of filing. Always 10-K in the dataset.
- _string_
- '10-K'

**reportDate**

- The last date in the fiscal year for which the entity is filing the report.
- _string_
- '2020-12-31'

**returns**

- _**Internal use**_. The prices and timestamps used to calculate the sentiment labels.
- _Dict_
- ```python
  {'1d': {
    'closePriceEndDate': 21.45746421813965,
    'closePriceStartDate': 20.64960479736328,
    'endDate': '2021-03-11T00:00:00-05:00',
    'startDate': '2021-03-09T00:00:00-05:00',
    'ret': 0.03912226855754852
    },
  '5d': {
    'closePriceEndDate': 21.743167877197266,
    'closePriceStartDate': 20.64960479736328,
    'endDate': '2021-03-15T00:00:00-04:00',
    'startDate': '2021-03-09T00:00:00-05:00',
    'ret': 0.052958063781261444
    },
  '30d': {
    'closePriceEndDate': 20.63919448852539,
    'closePriceStartDate': 20.64960479736328,
    'endDate': '2021-04-09T00:00:00-04:00',
    'startDate': '2021-03-09T00:00:00-05:00',
    'ret': -0.0005041408003307879}}
  ```

### Data Splits

| Config     |      train | validation |      test |
| ---------- | ---------: | ---------: | --------: |
| large_full | 67,316,227 |  1,585,561 | 2,965,174 |
| large_lite | 67,316,227 |  1,585,561 | 2,965,174 |
| small_full |    200,000 |     20,000 |    20,000 |
| small_lite |    200,000 |     20,000 |    20,000 |

### Dataset Summary Statistics

| Variable                          |      count |  mean |    std |    min |     1% |    25% |   50% |   75% |   99% |       max |
| :-------------------------------- | ---------: | ----: | -----: | -----: | -----: | -----: | ----: | ----: | ----: | --------: |
| Unique Firm Count                 |      4,677 |       |        |        |        |        |       |       |       |           |
| Filings Count                     |     55,349 |       |        |        |        |        |       |       |       |           |
| Sentence Count                    | 71,866,962 |       |        |        |        |        |       |       |       |           |
| Filings per Firm                  |      4,677 |    12 |      9 |      1 |      1 |      4 |    11 |    19 |    27 |        28 |
| Return per Filing - 1d            |     55,349 | 0.008 |  0.394 | -0.973 | -0.253 | -0.023 |     0 |  0.02 | 0.367 |    77.977 |
| Return per Filing - 5d            |     55,349 | 0.013 |  0.584 |  -0.99 | -0.333 | -0.034 |     0 | 0.031 |   0.5 |       100 |
| Return per Filing - 30d           |     55,349 | 0.191 | 22.924 | -0.999 | -0.548 | -0.068 | 0.001 | 0.074 |     1 | 5,002.748 |
| Sentences per Filing              |     55,349 | 1,299 |    654 |      0 |    110 |    839 | 1,268 | 1,681 | 3,135 |     8,286 |
| Sentences by Section - section_1  |     55,349 |   221 |    183 |      0 |      0 |     97 |   180 |   293 |   852 |     2,724 |
| Sentences by Section - section_10 |     55,349 |    24 |     40 |      0 |      0 |      4 |     6 |    20 |   173 |     1,594 |
| Sentences by Section - section_11 |     55,349 |    16 |     47 |      0 |      0 |      3 |     3 |     4 |   243 |       808 |
| Sentences by Section - section_12 |     55,349 |     9 |     14 |      0 |      0 |      3 |     4 |     8 |    56 |     1,287 |
| Sentences by Section - section_13 |     55,349 |     8 |     20 |      0 |      0 |      3 |     3 |     4 |    79 |       837 |
| Sentences by Section - section_14 |     55,349 |    22 |     93 |      0 |      0 |      3 |     3 |     8 |   413 |     3,536 |
| Sentences by Section - section_15 |     55,349 |   177 |    267 |      0 |      0 |      9 |    26 |   315 |  1104 |     4,140 |
| Sentences by Section - section_1A |     55,349 |   197 |    204 |      0 |      0 |      3 |   158 |   292 |   885 |     2,106 |
| Sentences by Section - section_1B |     55,349 |     4 |     31 |      0 |      0 |      1 |     3 |     3 |    13 |     2,414 |
| Sentences by Section - section_2  |     55,349 |    16 |     45 |      0 |      0 |      6 |     8 |    13 |   169 |     1,903 |
| Sentences by Section - section_3  |     55,349 |    14 |     36 |      0 |      0 |      4 |     5 |    12 |   121 |     2,326 |
| Sentences by Section - section_4  |     55,349 |     7 |     17 |      0 |      0 |      3 |     3 |     4 |    66 |       991 |
| Sentences by Section - section_5  |     55,349 |    20 |     41 |      0 |      0 |     10 |    15 |    21 |    87 |     3,816 |
| Sentences by Section - section_6  |     55,349 |     8 |     29 |      0 |      0 |      3 |     4 |     7 |    43 |     2,156 |
| Sentences by Section - section_7  |     55,349 |   265 |    198 |      0 |      0 |    121 |   246 |   373 |   856 |     4,539 |
| Sentences by Section - section_7A |     55,349 |    18 |     52 |      0 |      0 |      3 |     9 |    21 |   102 |     3,596 |
| Sentences by Section - section_8  |     55,349 |   257 |    296 |      0 |      0 |      3 |   182 |   454 |  1105 |     4,431 |
| Sentences by Section - section_9  |     55,349 |     5 |     33 |      0 |      0 |      3 |     3 |     4 |    18 |     2,330 |
| Sentences by Section - section_9A |     55,349 |    17 |     16 |      0 |      0 |      8 |    15 |    23 |    50 |       794 |
| Sentences by Section - section_9B |     55,349 |     4 |     18 |      0 |      0 |      2 |     3 |     4 |    23 |       813 |
| Word count per Sentence           | 71,866,962 |    28 |     22 |      1 |      2 |     16 |    24 |    34 |    98 |     8,675 |

## Dataset Creation

### Curation Rationale

To create this dataset multiple sources of information have to be cleaned and processed for data merging. Starting from the raw filings:

- Useful metadata about the filing and firm was added.
- Time windows around the filing date were carefully created.
- Stock price data was then added for the windows.
- Ambiguous/duplicate records were removed.

### Source Data

#### Initial Data Collection and Normalization

Initial data was collected and processed by the authors of the research paper [**EDGAR-CORPUS: Billions of Tokens Make The World Go Round**](#references). Market price and returns data was collected from Yahoo Finance. Additional metadata was collected from SEC.

#### Who are the source language producers?

US public firms filing with the SEC.

### Annotations

#### Annotation process

Labels for sentiment classification are based on buy-and-hold returns over a fixed time window around the filing date with the SEC i.e. when the data becomes public. Returns are chosen for this process as it reflects the combined market intelligence at parsing the new information in the filings. For each filing date **t** the stock price at **t-1** and **t+W** is used to calculate returns. If, the returns are positive a label of **positive** is assigned else a label of **negative** is assigned. Three different windows are used to assign the labels:

- **1d**: _[t-1, t+1]_
- **5d**: _[t-1, t+5]_
- **30d**: _[t-1, t+30]_

The windows are based on calendar days and are adjusted for weekends and holidays. The rationale behind using 3 windows is as follows:

- A very short window may not give enough time for all the information contained in the filing to be reflected in the stock price.
- A very long window may capture other events that drive stock price for the firm.

#### Who are the annotators?

Financial market participants.

### Personal and Sensitive Information

The dataset contains public filings data from SEC. Market returns data was collected from Yahoo Finance.

## Considerations for Using the Data

### Social Impact of Dataset

Low to none.

### Discussion of Biases

The dataset is about financial information of public companies and as such the tone and style of text is in line with financial literature.

### Other Known Limitations

NA

## Additional Information

### Dataset Curators

**Aman Khan**

### Licensing Information

This dataset is provided under Apache 2.0.

### References

- Lefteris Loukas, Manos Fergadiotis, Ion Androutsopoulos, & Prodromos Malakasiotis. (2021). EDGAR-CORPUS [Data set]. Zenodo. https://doi.org/10.5281/zenodo.5589195

### Citation Information

Please use the following to cite this dataset:

```
@ONLINE{financial-reports-sec,
author = "Aman Khan",
title = "Financial Reports SEC",
url = "https://huggingface.co/datasets/JanosAudran/financial-reports-sec"
}
```