This study performs BERT-based analysis, which is a representative contextualized language model, on corporate disclosure data to predict impending bankruptcies. Prior literature on bankruptcy prediction mainly focuses on developing more sophisticated prediction methodologies with financial variables. However, in our study, we focus on improving the quality of input dataset. Specifically, we employ BERT model to perform sentiment analysis on MD&A disclosures. We show that BERT outperforms dictionary-based predictions and Word2Vec-based predictions under time-discrete logistic hazard model, k-nearest neighbor (kNN-5), and linear kernel support vector machine (SVM). Further, instead of pretraining the BERT model from scratch, we apply self-learning with confidence-based filtering to corporate disclosure data. We achieve the accuracy rate of 91.56% and demonstrate that the domain adaptation procedure brings a significant improvement in prediction accuracy.

Kyle (1985) proposes two types of rumors: informed rumors that are based on some private information and uninformed rumors that are not based on any information (i.e. bluffing). Also, prior studies find that when people have credible source of information, they are likely to use a more confident textual tone in their spreading of rumors. Motivated by these theoretical findings, we propose a double-channel structure to determine the ex-ante veracity of rumors on social media. Our ultimate goal is to classify each rumor into true, false, or unverifiable category. We first assign each text into either certain (informed rumor) or uncertain (uninformed rumor) category. Then, we apply lie detection algorithm to informed rumors and thread-reply agreement detection algorithm to uninformed rumors. Using the dataset of Se-mEval 2019 Task 7, which requires ex-ante threefold classification (true, false, or unverifiable) of social media rumors, our model yields a macro-F1 score of 0.4027, outperforming all the baseline models and the second-place winner (Gorrell et al., 2019). Furthermore, we empirically validate that the double-channel structure outperforms single-channel structures which use either lie detection or agreement detection algorithm to all posts. 1