Three Essays on Empirical Asset Pricing

The thesis consists of three chapters. The first chapter proposes a novel inter-firm link: similar employee satisfaction. Based on the employee satisfaction data on Glassdoor, the returns of similar employee satisfaction (SES) firms are documented to predict focal firm stock returns. The observed predictability cannot be explained by risk-based arguments or subsumed by other known inter-firm momentums. The return predictability across SES firms may reflect a new type of cross-firm link derived from the knowledge spillovers about employee welfare policies via social transmission. The second chapter discovers a novel firm characteristic which is informative on firm performance. Inspired by the psychological findings that demographic similarity can promote trust and coordination within a team, we find that firm stock performance is positively related to facial resemblance between top management team (TMT) members due to the higher managerial efficiency. And the results suggest that investors’ limited attention and limits of arbitrage are the potential mechanisms behind the return predictability. The last chapter studies the effects of CEO tweeting on firm stock performance. Based on the U.S. public firm sample from 2012 to 2018. we discover that CEO tweeting skill and frequency together affect the firm stock performance. And the results suggest that the documented effects are more likely to be explained by the behavioral bias other than risk explanations.