Employee Sentiment and Stock Returns
Abstract:We propose an employee sentiment index, which complements investor sentiment and manager sentiment indices, and find that high employee sentiment predicts a subsequent low market return, significant both in- and out-of-sample. The predictability of the employee sentiment index can also deliver sizable economic gains for mean-variance investors in asset allocation. The employee sentiment’s impact is stronger among employees who work in the headquarters state and among less experienced employees. The economic driving force of the predictability is distinct from those of investor sentiment and manager sentiment: high employee sentiment leads to high contemporaneous wage growth due to immobility, which in turn results in subsequently lower firm cash flow and lower stock return.
个人概况：陈坚教授毕业于英国埃塞克斯大学（Essex）商学院，目前就职于厦门大学威尼斯人官网金融系，研究方向包括金融大数据、金融工程、资产定价等领域。目前，科研成果主要发表于Journal of Financial and Quantitative Analysis, Journal of International Money and Finance, Journal of Futures Markets,《金融研究》,《管理科学学报》等国内外优秀期刊。作为项目负责人，主持国家自然科学基金项目（面上项目）一项，完成国家自然科学基金项目（青年项目）和福建省社科项目各一项。