Companies listed on the stock exchange are required to share their annual reports with the U.S. Securities and Exchange Commission (SEC) within the first three months following the fiscal year. These reports, namely 10-K Filings, are presented to public interest by the SEC through an Electronic Data Gathering, Analysis, and Retrieval database. 10-K Filings use standard file formats (xbrl, html, pdf) to publish the financial reports of the companies. Although the file formats propose a standard structure, the content and the meta-data of the financial reports (e.g. tag names) is not strictly bound to a pre-defined schema. This study proposes a data collection and data preprocessing method to semantify the financial reports and use the collected data for further analysis (i.e. machine learning). The analysis of eight different datasets, which were created during the study, are presented using the proposed data transformation methods. As a use case, based on the datasets, five different machine learning algorithms were utilized to predict the existence of the corresponding company in the S&P 500 index. According to the strong machine learning results, the dataset generation methodology is successful and the datasets are ready for further use.

The use of reports in action has grown significantly in recent decades as data has become digitized. However, traditional statistical methods no longer work due to the uncontrollable expansion and complexity of raw data. Therefore, it is crucial to clean and analyze financial data using modern machine learning methods. In this study, the quarterly reports (i.e. 10Q filings) of publicly traded companies in the United States were analyzed by utilizing data mining methods. The study used 8905 quarterly reports of companies from 2019 to 2022. The proposed approach consists of two phases with a combination of three different machine learning methods. The first two methods were used to generate a dataset from the 10Q filings with extracting new features, and the last method was used for the classification problem. Doc2Vec method in Gensim framework was used to generate vectors from textual tags in 10Q filings. The generated vectors were clustered using the K-means algorithm to combine the tags according to their semantics. By this way, 94000 tags representing different financial items were reduced to 20000 clusters consisting of these tags, making the analysis more efficient and manageable. The dataset was created with the values corresponding to the tags in the clusters. In addition, PriceRank metric was added to the dataset as a class label indicating the price strength of the companies for the next financial quarter. Thus, it is aimed to determine the effect of a company's quarterly reports on the market price of the company for the next period. Finally, a Convolutional Neural Network model was utilized for the classification problem. To evaluate the results, all stages of the proposed hybrid method were compared with other machine learning techniques. This novel approach could assist investors in examining companies collectively and inferring new, significant insights. The proposed method was compared with different approaches for creating datasets by extracting new features and classification tasks, then eventually tested with different metrics. The proposed approach performed comparatively better than the other machine learning methods to predict future price strength based on past reports with an accuracy of 84% on the created 10Q filings dataset.