Evaluating Stock Market Performance Using Aggregated Employee Reviews
Citation
Ayala, Peter. 2019. Evaluating Stock Market Performance Using Aggregated Employee Reviews. Bachelor's thesis, Harvard College.Abstract
Investors are constantly driven by a desire to outperform the market. While investments may perform well in the short-term, there is great difficulty in achieving long-term success. We show that using aggregated employee reviews left on Glassdoor can result in significant performances spanning multiple years. A portfolio managed as the top quintile of firms by their Glassdoor rating has a significant Four-Factor alpha and excess returns above the S\&P500. Strong positive changes in employee's perception on "Senior Leadership" and "Culture \& Values" can also be used to create significant portfolio performance, with its significance additionally tested through a Fama-MacBeth regression. Lastly, using a text classification model to categorize employee reviews, we show that the dimensions "Agility," "Customer Orientation," and "Engagement" are indicative of significant positive performance.Terms of Use
This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAACitable link to this page
https://nrs.harvard.edu/URN-3:HUL.INSTREPOS:37364656
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