Forecasting financial volatility of a publicly-traded company from its annual reports has been previously defined as a text regression problem. Recent studies use a manually labeled lexicon to filter the annual reports by keeping sentiment words only. In order to remove the lexicon dependency without decreasing the performance, we replace bag-of-words model word features by word embedding vectors. Using word vectors increases the number of parameters. Considering the increase in number of parameters and excessive lengths of annual reports, a convolutional neural network model is proposed and transfer learning is applied. Experimental results show that the convolutional neural network model provides more accurate volatility predictions than lexicon based models.