Analyzing Investors' Objective Risk Sentiment Drivers in Annual Reports: A Meta-Synthesis Approach

Risk sentiment influences the investors' risk assessment and their decisions. The present study aims at investigating, identifying, and prioritizing the influential factors on investors' objective risk sentiment through annual reports. A qualitative meta-synthesis approach was used to systematically assess 285 previous studies. Finally, 39 studies were selected to investigate the factors affecting investors' risk sentiment. Then, in order to assess the content validity, the opinions of 14 experts were selected. Content analysis was also applied through quantitative Shannon entropy method to determine the influence coefficient of the identified factors. The results indicate that 10 categories and 63 financial and non-financial components in the annual reports influence the investors' objective risk sentiment. Liquidity risk, stock price risk, negative words and phrases, exchange rate risk, interest rate risk, credit risk, and ambiguous words and phrases had the highest influence on investors' objective risk sentiment, respectively. The findings of this study contribute to the perception of the components of objective risk in annual reports and investors' optimal decision making.