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Asset Pricing in the Information Age: Employee Expectations and Stock Returns

Jinfei Sheng

Review of Asset Pricing Studies2025https://doi.org/10.1093/rapstu/raae016article
AJG 3ABDC A*
Weight
0.54

Abstract

Firms with more positive employee expectations tend to earn higher future returns, delivering annualized abnormal returns ranging from 8% to 11%. Employees’ forward-looking expectations are a stronger return predictor than employee satisfaction, which is backward-looking. Employee expectations can predict returns because they reflect information about firms’ fundamentals that has not yet been reflected in traditional data sources, such as earnings reports. Hedge funds actively trade on this information, consistent with a decay in forecasting power over longer holding horizons. Overall, this paper highlights the importance of labor in asset pricing, specifically from the perspective of employee expectations. (JEL G12, G14)

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https://doi.org/https://doi.org/10.1093/rapstu/raae016

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@article{jinfei2025,
  title        = {{Asset Pricing in the Information Age: Employee Expectations and Stock Returns}},
  author       = {Jinfei Sheng},
  journal      = {Review of Asset Pricing Studies},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1093/rapstu/raae016},
}

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Asset Pricing in the Information Age: Employee Expectations and Stock Returns

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Evidence weight

0.54

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.52 × 0.4 = 0.21
M · momentum0.72 × 0.15 = 0.11
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.