Stock Returns and Employee Turnover
Sum, V. & Chorlian, J. (2012). Stock returns and employee turnover. International Economics and Finance Journal, 7(2), 347-354.
9 Pages Posted: 9 May 2012 Last revised: 25 Sep 2012
Date Written: May 9, 2012
This paper analyses risk premiums and risk-adjusted excess returns of a portfolio of firms with low employee turnover from 2006 to 2011. The results show that average risk premiums of an equal-weighted portfolio of firms with low employee turnover are economically superior than the CRSP value-weighted index risk premiums 5 years in a row from 2007 to 2011 and are economically greater than the S&P 500 index risk premiums from 2007 to 2011 (except 2010). The portfolio exhibits average positive risk-adjusted excess returns for the 3-year and 5-year holding period intervals; this suggests that firms with low employee turnover should be able to enjoy superior benefits and performance in the long run.
Keywords: Risk premiums, risk adjusted excess returns, employee turnover
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation