Information dispersion across employees and stock returns

Agrawal, Ashwini ORCID: 0000-0003-0865-9144, Hacamo, Isaac and Hu, Zhongchen (2021) Information dispersion across employees and stock returns. Review of Financial Studies, 34 (10). 4785 – 4831. ISSN 0893-9454

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Abstract

Rank-and-file employees are becoming increasingly critical for many firms, yet we know little about how their employment dynamics matter for stock prices. We analyze new data from the individual CV’s of public company employees and find that rank-and- file labor flows can be used to predict abnormal stock returns. Accounting data and survey evidence indicate that workers’ labor market decisions reflect information about future corporate earnings. Investors, however, do not appear to fully incorporate this information into their earnings expectations. The findings support the hypothesis that rank-and-file employees’ entry and exit decisions reveal valuable insights into their employers’ future stock performance.

Item Type:	Article
Official URL:	https://academic.oup.com/rfs
Additional Information:	© 2020 The Authors
Divisions:	Finance
Subjects:	H Social Sciences > HG Finance H Social Sciences > HD Industries. Land use. Labor
JEL classification:	G - Financial Economics > G0 - General > G00 - General G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies G - Financial Economics > G3 - Corporate Finance and Governance > G30 - General J - Labor and Demographic Economics > J0 - General > J00 - General
Date Deposited:	04 Sep 2020 12:18
Last Modified:	16 Nov 2024 00:24
URI:	http://eprints.lse.ac.uk/id/eprint/106491

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