Employee sentiment index: Predicting stock returns with online employee data
作者：
Highlights：
• The aggregate employee sentiment is a strong predictor of market returns.
• The employee sentiment has incremental value compared to other sentiment proxies.
• Market-wide employee sentiment has distinct effects than firm-specific sentiment.
• Aggregate employee sentiment predicts future cash flows and volatility.
• Big employee data can feed in expert financial models and predict asset ret
摘要
•The aggregate employee sentiment is a strong predictor of market returns.•The employee sentiment has incremental value compared to other sentiment proxies.•Market-wide employee sentiment has distinct effects than firm-specific sentiment.•Aggregate employee sentiment predicts future cash flows and volatility.•Big employee data can feed in expert financial models and predict asset ret
论文关键词：Employee sentiment,Online big data,Voluntary information disclosure,Business outlook predictions,Return predictability,Expert financial models
论文评审过程：Received 25 July 2020, Revised 9 January 2021, Accepted 25 May 2021, Available online 2 June 2021, Version of Record 8 June 2021.
论文官网地址：https://doi.org/10.1016/j.eswa.2021.115294
