Crowdsourced employer reviews and stock returns
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jfineco.2019.03.012
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Agrawal, Ashwini K. & Matsa, David A., 2013.
"Labor unemployment risk and corporate financing decisions,"
Journal of Financial Economics, Elsevier, vol. 108(2), pages 449-470.
- Agrawal, Ashwini K. & Matsa, David A., 2013. "Labor unemployment risk and corporate financing decisions," LSE Research Online Documents on Economics 69608, London School of Economics and Political Science, LSE Library.
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Kewei Hou, 2007. "Industry Information Diffusion and the Lead-lag Effect in Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1113-1138.
- Harrison Hong & Terence Lim & Jeremy C. Stein, 2000.
"Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,"
Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
- Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc.
- Karl B. Diether & Christopher J. Malloy & Anna Scherbina, 2002. "Differences of Opinion and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 57(5), pages 2113-2141, October.
- Josh Lerner & Jean Tirole, 2002. "Some Simple Economics of Open Source," Journal of Industrial Economics, Wiley Blackwell, vol. 50(2), pages 197-234, June.
- Paul A. Gompers & Andrew Metrick, 2001.
"Institutional Investors and Equity Prices,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(1), pages 229-259.
- Paul A. Gompers & Andrew Metrick, "undated". "Institutional Investors and Equity Prices," Rodney L. White Center for Financial Research Working Papers 20-99, Wharton School Rodney L. White Center for Financial Research.
- Paul A. Gompers & Andrew Metrick, 1998. "Institutional Investors and Equity Prices," NBER Working Papers 6723, National Bureau of Economic Research, Inc.
- Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December.
- John, Kose & Knyazeva, Anzhela & Knyazeva, Diana, 2015. "Employee rights and acquisitions," Journal of Financial Economics, Elsevier, vol. 118(1), pages 49-69.
- Kewei Hou & Tobias J. Moskowitz, 2005. "Market Frictions, Price Delay, and the Cross-Section of Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 981-1020.
- Huang, Jiekun, 2018. "The customer knows best: The investment value of consumer opinions," Journal of Financial Economics, Elsevier, vol. 128(1), pages 164-182.
- Seyhun, H. Nejat, 1986. "Insiders' profits, costs of trading, and market efficiency," Journal of Financial Economics, Elsevier, vol. 16(2), pages 189-212, June.
- Alldredge, Dallin M. & Cicero, David C., 2015. "Attentive insider trading," Journal of Financial Economics, Elsevier, vol. 115(1), pages 84-101.
- Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
- Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
- Massa, Massimo & Qian, Wenlan & Xu, Weibiao & Zhang, Hong, 2015. "Competition of the informed: Does the presence of short sellers affect insider selling?," Journal of Financial Economics, Elsevier, vol. 118(2), pages 268-288.
- Schwert, G. William, 2003.
"Anomalies and market efficiency,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974,
Elsevier.
- G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
- Hirshleifer, David & Kewei Hou & Teoh, Siew Hong & Yinglei Zhang, 2004.
"Do investors overvalue firms with bloated balance sheets?,"
Journal of Accounting and Economics, Elsevier, vol. 38(1), pages 297-331, December.
- Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong & Zhang, Yinglei, 2004. "Do Investors Overvalue Firms with Bloated Balance Sheets?," Working Paper Series 2004-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- David Hirshleifer & KEWEI HOU & Siew Hong Teoh & YINGLEI ZHANG, 2004. "Do Investors Overvalue Firms With Bloated Balance Sheets?," Finance 0412001, University Library of Munich, Germany.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Ilona Babenko & Rik Sen, 2016. "Do Nonexecutive Employees Have Valuable Information? Evidence from Employee Stock Purchase Plans," Management Science, INFORMS, vol. 62(7), pages 1878-1898, July.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Daniel, Kent, et al, 1997. "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, vol. 52(3), pages 1035-1058, July.
- Edmans, Alex, 2011. "Does the stock market fully value intangibles? Employee satisfaction and equity prices," Journal of Financial Economics, Elsevier, vol. 101(3), pages 621-640, September.
- Joseph Engelberg & R. David Mclean & Jeffrey Pontiff, 2018. "Anomalies and News," Journal of Finance, American Finance Association, vol. 73(5), pages 1971-2001, October.
- Gennaro Bernile & Alok Kumar & Johan Sulaeman, 2015. "Home away from Home: Geography of Information and Local Investors," The Review of Financial Studies, Society for Financial Studies, vol. 28(7), pages 2009-2049.
- Michael J. Cooper & Huseyin Gulen & Michael J. Schill, 2008. "Asset Growth and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 63(4), pages 1609-1651, August.
- Tobias J. Moskowitz & Mark Grinblatt, 1999.
"Do Industries Explain Momentum?,"
Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
- Tobias J. Moskowitz & Mark Grinblatt, "undated". "Do Industries Explain Momentum?," CRSP working papers 480, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Tobias J. Moskowitz & Mark Grinblatt, "undated". "Do Industries Explain Momentum?," CRSP working papers 352, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lauren Cohen & Karl Diether & Christopher Malloy, 2013. "Misvaluing Innovation," The Review of Financial Studies, Society for Financial Studies, vol. 26(3), pages 635-666.
- Lauren Cohen & Christopher Malloy & Lukasz Pomorski, 2012. "Decoding Inside Information," Journal of Finance, American Finance Association, vol. 67(3), pages 1009-1043, June.
- La Porta, Rafael, 1996. "Expectations and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 51(5), pages 1715-1742, December.
- Huddart, Steven & Lang, Mark, 2003. "Information distribution within firms: evidence from stock option exercises," Journal of Accounting and Economics, Elsevier, vol. 34(1-3), pages 3-31, January.
- Peng, Lin & Xiong, Wei, 2006.
"Investor attention, overconfidence and category learning,"
Journal of Financial Economics, Elsevier, vol. 80(3), pages 563-602, June.
- Lin Peng & Wei Xiong, 2005. "Investor Attention: Overconfidence and Category Learning," NBER Working Papers 11400, National Bureau of Economic Research, Inc.
- Harrison Hong & Jeremy C. Stein, 1999.
"A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,"
Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
- Harrison Hong & Jeremy C. Stein, 1997. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets," NBER Working Papers 6324, National Bureau of Economic Research, Inc.
- R. David Mclean & Jeffrey Pontiff, 2016. "Does Academic Research Destroy Stock Return Predictability?," Journal of Finance, American Finance Association, vol. 71(1), pages 5-32, February.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
- Joshua D. Coval & Tobias J. Moskowitz, 2001. "The Geography of Investment: Informed Trading and Asset Prices," Journal of Political Economy, University of Chicago Press, vol. 109(4), pages 811-841, August.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006.
"The Cross‐Section of Volatility and Expected Returns,"
Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
- Pontiff, Jeffrey, 2006. "Costly arbitrage and the myth of idiosyncratic risk," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 35-52, October.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Russell Jame & Rick Johnston & Stanimir Markov & Michael C. Wolfe, 2016. "The Value of Crowdsourced Earnings Forecasts," Journal of Accounting Research, Wiley Blackwell, vol. 54(4), pages 1077-1110, September.
- Huang, Minjie & Li, Pingshu & Meschke, Felix & Guthrie, James P., 2015. "Family firms, employee satisfaction, and corporate performance," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 108-127.
- Stefano Dellavigna & Joshua M. Pollet, 2009. "Investor Inattention and Friday Earnings Announcements," Journal of Finance, American Finance Association, vol. 64(2), pages 709-749, April.
- Eric K. Kelley & Paul C. Tetlock, 2013. "How Wise Are Crowds? Insights from Retail Orders and Stock Returns," Journal of Finance, American Finance Association, vol. 68(3), pages 1229-1265, June.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Christopher J. Malloy, 2005. "The Geography of Equity Analysis," Journal of Finance, American Finance Association, vol. 60(2), pages 719-755, April.
- Hailiang Chen & Prabuddha De & Yu (Jeffrey) Hu & Byoung-Hyoun Hwang, 2014. "Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media," The Review of Financial Studies, Society for Financial Studies, vol. 27(5), pages 1367-1403.
- David Hirshleifer & Sonya Seongyeon Lim & Siew Hong Teoh, 2009.
"Driven to Distraction: Extraneous Events and Underreaction to Earnings News,"
Journal of Finance, American Finance Association, vol. 64(5), pages 2289-2325, October.
- Hirshleifer, David & Lim, Sonya Seongyeon & Teoh, Siew Hong, 2006. "Driven to distraction: Extraneous events and underreaction to earnings news," MPRA Paper 3110, University Library of Munich, Germany, revised 16 Apr 2007.
- Gur Huberman & Tomer Regev, 2001. "Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar," Journal of Finance, American Finance Association, vol. 56(1), pages 387-396, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hou, Kewei & Xue, Chen & Zhang, Lu, 2017.
"Replicating Anomalies,"
Working Paper Series
2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Kewei Hou & Chen Xue & Lu Zhang, 2017. "Replicating Anomalies," NBER Working Papers 23394, National Bureau of Economic Research, Inc.
- Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
- David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2018.
"Innovative Originality, Profitability, and Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2553-2605.
- David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2017. "Innovative Originality, Profitability, and Stock Returns," NBER Working Papers 23432, National Bureau of Economic Research, Inc.
- Chen, Zilin & Chu, Liya & Liang, Dawei & Tu, Jun, 2022. "Far away from home: Investors’ underreaction to geographically dispersed information," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
- Lee, Charles M.C. & Sun, Stephen Teng & Wang, Rongfei & Zhang, Ran, 2019.
"Technological links and predictable returns,"
Journal of Financial Economics, Elsevier, vol. 132(3), pages 76-96.
- Lee, Charles M. C. Lee & Sun, Stephen Teng & Wang, Rongfei & Zhang, Ran, 2017. "Technological Links and Predictable Returns," Research Papers repec:ecl:stabus:3605, Stanford University, Graduate School of Business.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
- Xin Chen & Wei He & Libin Tao & Jianfeng Yu, 2023. "Attention and Underreaction-Related Anomalies," Management Science, INFORMS, vol. 69(1), pages 636-659, January.
- Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
- Oh, Jong-Min, 2017. "Absorptive capacity, technology spillovers, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 146-164.
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
- Andrew Y. Chen & Tom Zimmermann, 2022.
"Open Source Cross-Sectional Asset Pricing,"
Critical Finance Review, now publishers, vol. 11(2), pages 207-264, May.
- Chen, Andrew Y. & Zimmermann, Tom, 2020. "Open source cross-sectional asset pricing," CFR Working Papers 20-04, University of Cologne, Centre for Financial Research (CFR).
- Andrew Y. Chen & Tom Zimmermann, 2021. "Open Source Cross-Sectional Asset Pricing," Finance and Economics Discussion Series 2021-037, Board of Governors of the Federal Reserve System (U.S.).
- Stefan Nagel, 2013.
"Empirical Cross-Sectional Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
- Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
- Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
- Theissen, Erik & Zimmermann, Lukas, 2020. "Do contented customers make shareholders wealthy? Implications of intangibles for security pricing," CFR Working Papers 20-12, University of Cologne, Centre for Financial Research (CFR).
- DeLisle, R. Jared & Ferguson, Michael F. & Kassa, Haimanot & Zaynutdinova, Gulnara R., 2021. "Hazard stocks and expected returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
- Huang, Jiekun, 2018. "The customer knows best: The investment value of consumer opinions," Journal of Financial Economics, Elsevier, vol. 128(1), pages 164-182.
- Asness, Clifford & Frazzini, Andrea & Israel, Ronen & Moskowitz, Tobias J. & Pedersen, Lasse H., 2018.
"Size matters, if you control your junk,"
Journal of Financial Economics, Elsevier, vol. 129(3), pages 479-509.
- Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Israel, Ronen, 2018. "Size Matters, if You Control Your Junk," CEPR Discussion Papers 12684, C.E.P.R. Discussion Papers.
- Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
- Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
- Avanidhar Subrahmanyam, 2010. "The Cross†Section of Expected Stock Returns: What Have We Learnt from the Past Twenty†Five Years of Research?," European Financial Management, European Financial Management Association, vol. 16(1), pages 27-42, January.
More about this item
Keywords
Glassdoor; Employee satisfaction; Market efficiency;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jfinec:v:134:y:2019:i:1:p:236-251. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505576 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.