← 研踪 PaperTrailarXiv:2607.27611 · v2
AWARE-FX: Auditable measurement of corporate foreign-exchange hedging disclosure
首次提交 2026-07-30 10:58
版本更新 2026-11-09 21:31
雷达观测 2026-11-10 15:22
摘要
Corporate annual reports describe hedging through transactional, policy, accounting, and explicit non-use language. This study presents AWARE-FX, the foreign-exchange application of the Auditable Weak-supervision and Aggregation framework, for constructing traceable firm-year disclosure measures. Professional-source retrieval, evidence-state rules, channel classifiers, and top-three aggregation link each score to supporting passages. The application covers 24,909 Hong Kong firm-years from 2008-2025 and 543,527 candidate snippets. Evaluation combines weak-label held-out tests, three-seed encoder comparisons, a 2023-2025 temporal test, calibration diagnostics, selective prediction, and a stratified 300-snippet audit coded by one researcher. The paired temporal tests do not detect statistically significant differences between FinBERT and ModernBERT. The negation-aware lexicon has higher broad-task audit F1 than strict-gate FinBERT and Qwen3-8B, demonstrating that learned models do not uniformly improve on domain rules. At 80% temporal coverage, retained-sample F1 increases by 0.050-0.077, although the study does not measure human review time or deployment impact. Reproducible Qwen3-8B results show substantial variation across evidence channels. Linked exposure associations provide exploratory external validation, with sensitivity to the multiple-testing family. The scores measure detected hedging disclosure rather than hedge notional or causal effectiveness. The contribution is an evaluated measurement workflow with inspectable evidence and explicit validation limits. Independent duplicate annotation and retrieval-recall assessment remain necessary for stronger reliability claims.
作者备注：26 pages, 4 figures, 13 tables. Revised and shortened version of v1. Preprint: not peer reviewed
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v2 · 2026-11-09 21:31 · 最新观测版本
AWARE-FX: Auditable measurement of corporate foreign-exchange hedging disclosure
Corporate annual reports describe hedging through transactional, policy, accounting, and explicit non-use language. This study presents AWARE-FX, the foreign-exchange application of the Auditable Weak-supervision and Aggregation framework, for constructing traceable firm-year disclosure measures. Professional-source retrieval, evidence-state rules, channel classifiers, and top-three aggregation link each score to supporting passages. The application covers 24,909 Hong Kong firm-years from 2008-2025 and 543,527 candidate snippets. Evaluation combines weak-label held-out tests, three-seed encoder comparisons, a 2023-2025 temporal test, calibration diagnostics, selective prediction, and a stratified 300-snippet audit coded by one researcher. The paired temporal tests do not detect statistically significant differences between FinBERT and ModernBERT. The negation-aware lexicon has higher broad-task audit F1 than strict-gate FinBERT and Qwen3-8B, demonstrating that learned models do not uniformly improve on domain rules. At 80% temporal coverage, retained-sample F1 increases by 0.050-0.077, although the study does not measure human review time or deployment impact. Reproducible Qwen3-8B results show substantial variation across evidence channels. Linked exposure associations provide exploratory external validation, with sensitivity to the multiple-testing family. The scores measure detected hedging disclosure rather than hedge notional or causal effectiveness. The contribution is an evaluated measurement workflow with inspectable evidence and explicit validation limits. Independent duplicate annotation and retrieval-recall assessment remain necessary for stronger reliability claims.
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