| As ESG responsibility has received widespread attention from all walks of life,ESG responsible investment has also fully demonstrated the characteristics of the Chinese market in my country.By incorporating the performance of the target enterprise in three non-financial aspects of environmental protection,social responsibility and corporate governance into the investment evaluation As a new value concept and evaluation tool,ESG responsibility has not only become an important reference for investors to measure the company’s operating conditions,profitability,and corporate value,but also has a profound impact on the company’s new growth.As an important stakeholder of an enterprise,employees are not only internal objects in the scope of corporate social responsibility,but also undertake the specific implementation tasks of corporate social responsibility.Therefore,the fulfillment of employee responsibility by an enterprise is an important part of ESG responsibility.The competition in today’s talent market is becoming increasingly fierce,the labor costs faced by enterprises are constantly rising,the turnover rate and turnover rate of personnel are constantly increasing,and whether the interests of employees can be protected has increasingly become one of the hot issues of public opinion.Performance is not only the core issue that workers pay attention to when choosing a job,but also gradually becomes an important reference for investment.With the introduction of stakeholder theory,the research on corporate social responsibility has been developed by leaps and bounds.At present,there have been many studies that demonstrate the economic and social significance of corporate social responsibility.As for the pricing efficiency of capital market,some studies have confirmed that there is a negative correlation between corporate social responsibility performance and future stock returns,showing a "social responsibility anomaly",and some studies deconstruct corporate social responsibility from the perspective of stakeholders.From the perspective of employees,this paper discusses the predictability of employee responsibility performance on future stock returns and the causes of anomaly.Focusing on this research topic,this paper analyzes and tests four questions layer by layer: First,what kind of impact does the enterprise’s employee responsibility have on the future stock returns? Secondly,if the performance of employee responsibility by enterprises has a negative impact on stock returns,and "employee responsibility anomaly" appears,is the source of anomaly risk compensation or mispricing? Thirdly,is the wrong pricing mechanism that leads to the "employee responsibility anomaly" insufficient or excessive investor response? Fourthly,on the basis of distinguishing enterprise heterogeneity,will enterprise heterogeneity have a differentiated impact on the relationship between employee responsibility performance and stock returns?In view of the above problems,based on the review of relevant literature,this paper analyzes them through efficient market theory,behavioral finance theory and stakeholder theory.Taking China’s A-share non-financial listed companies from 2010 to 2020 as samples,it calculates the excess returns of individual stocks as the explanatory variables,and adopts the ESG responsibility score data of listed companies’ employee responsibility dimensions disclosed by Hexun.com as the explanatory variables.This paper makes an empirical test on the relationship between employees’ responsibilities and stock returns,and on this basis,identifies and traces the anomalies of employees’ responsibilities.Finally,it analyzes the heterogeneity of companies with different characteristics.The findings of this paper are as follows: First,in China’s A-share market,there is a profit anomaly of enterprises fulfilling employee responsibility,that is,companies with lower scores for fulfilling employee responsibility will have higher future profits.Secondly,this paper identifies the sources of anomalies from the perspective of risk compensation of efficient market hypothesis and mispricing of behavioral finance,and finds that the risk compensation mechanism can’t be used as an explanation of the sources of anomalies.Further examination of whether anomalies originate from mispricing mechanism shows that "employee responsibility anomalies" exist in the period of high investor sentiment,and also in the stock samples with high turnover rate,high analyst coverage,high arbitrage cost and low institutional investors’ shareholding ratio,which indicates that the performance of employee responsibilities by enterprises is the cause.Furthermore,in terms of the types of mispricing,this paper finds that the negative earnings caused by enterprises’ fulfilling employee responsibilities last for a short time,and there will be obvious earnings reversal in the subsequent time dimension,which indicates that this earnings anomaly comes from mispricing caused by investors’ overreaction.Thirdly,on the basis of distinguishing the heterogeneity of enterprises,this paper finds that "employee responsibility anomaly" is more obvious for non-state-owned enterprises and large-scale enterprises. |
