Bankruptcy is a low-frequency but high-impact corporate event, making early risk identification important for creditors, investors, regulators, and risk managers. Traditional bankruptcy-prediction models rely primarily on accounting ratios, but these measures may reflect financial deterioration only after it appears in reported financial statements. Narrative disclosures in annual 10-K filings may therefore provide incremental warning signals about emerging distress. This study examines whether 10-K narratives improve bankruptcy prediction beyond conventional accounting variables. Using firm-year observations matched to 10-K text, SEC financial statement data, and bankruptcy events from the Florida-UCLA-LoPucki Bankruptcy Research Database, the analysis evaluates bankruptcy risk over the year following the 10-K filing date. The paper develops a transparent Pre-Bankruptcy Stress (PB Stress) Score, a dictionary-based measure designed to capture distress-specific language related to liquidity and funding stress, debt covenant and refinancing stress, operating deterioration, restructuring and legal distress, and business fragility. The score is evaluated against a five-variable accounting baseline and a Loughran-McDonald dictionary benchmark. In the primary one-year holdout test, adding the PB Stress Score increases AUC from 0.8323 to 0.9019 and raises top-decile bankruptcy capture from 44.12% to 64.71%. The positive incremental pattern remains visible across bootstrap inference, alternative accounting benchmarks, alternative outcome definitions, and out-of-time validation. The findings indicate that distress-specific 10-K narratives provide interpretable incremental information for bankruptcy-risk monitoring beyond conventional accounting ratios.

翻译：破产是一种低频率但高影响的企业事件，因此早期风险识别对债权人、投资者、监管机构和风险管理者至关重要。传统破产预测模型主要依赖会计比率，但这些指标可能仅在财务恶化反映于已审财务报表之后才有所体现。因此，年度10-K报告中的叙述性披露可能为新兴困境提供增量预警信号。本研究考察了10-K叙述是否能在传统会计变量之外改进破产预测。通过使用与10-K文本匹配的企业年度观测值、美国证券交易委员会（SEC）财务报表数据以及来自佛罗里达-加州大学洛杉矶分校-洛普基破产研究数据库的破产事件，本文分析了10-K提交日后一年内的破产风险。文章提出了一种透明的破产前压力（PB Stress）评分，这是一种基于词典的衡量指标，旨在捕捉与流动性及资金压力、债务契约和再融资压力、运营恶化、重组与法律困境以及业务脆弱性相关的困境特定语言。该评分与包含五个变量的会计基线及洛克兰-麦克唐纳词典基准进行了比较评估。在主要的一年期保持测试中，加入PB Stress评分将AUC从0.8323提升至0.9019，并将前十位破产捕获率从44.12%提高至64.71%。这一正向增量模式在自助法推断、替代会计基准、替代结果定义和跨时段验证中均保持一致。研究结果表明，困境特定10-K叙述为破产风险监测提供了超越传统会计比率的可解释增量信息。