Crowdsourced Employee Sentiment and Abnormal Stock Returns

46 Pages Posted: 6 Apr 2022

See all articles by Mary J Becker

Mary J Becker

Canisius College - Department of Economics and Finance

Alexander Cardazzi

West Virginia University - Department of Economics; Old Dominion University - Economics

Zachary McGurk

Canisius College - Richard J. Wehle School of Business

Date Written: March 23, 2022

Abstract

Previous literature has found crowdsourced employee sentiment obtained from Glassdoor.com is related to stock returns. Evidence has shown this data can suffer from some abnormalities which may limit its usefulness. To account for these discrepancies, we utilize textual analysis through the multinominal inverse regression method to create monthly firm specific expected employee sentiment indexes for US public firms from the period 2008-2019. We test the implications of the previous literature to determine if our expected employee sentiment index is related to the cross section of abnormal returns. We find evidence that our expected employee sentiment index is related to the cross section of abnormal returns. Further, we find that employee sentiment as estimated similar to the previous literature is no longer related to stock returns. These result are robust to different specifications.

Keywords: Glassdoor, Textual Analysis, Employee Satisfaction, Abnormal Returns.

JEL Classification: G12,G41,G39

Suggested Citation

Becker, Mary J and Cardazzi, Alexander and McGurk, Zachary, Crowdsourced Employee Sentiment and Abnormal Stock Returns (March 23, 2022). Available at SSRN: https://ssrn.com/abstract=4064337 or http://dx.doi.org/10.2139/ssrn.4064337

Mary J Becker

Canisius College - Department of Economics and Finance ( email )

United States

Alexander Cardazzi

West Virginia University - Department of Economics ( email )

Morgantown, WV 26506
United States

Old Dominion University - Economics ( email )

Norfolk, VA 23529
United States

Zachary McGurk (Contact Author)

Canisius College - Richard J. Wehle School of Business ( email )

United States

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