Which corporate leaders matter to financial markets?

This article uses market volatility effects to answer the question of which leaders matter to financial markets. We use a unique large dataset of over 22,000 management change announcements from S&P 500 companies together with an augmented Fama and French 5-factor model. Rolling ARCH panel regressions identify how idiosyncratic changes in daily stock price volatility are associated with changes in top corporate officers. We find that changes in CEOs, Presidents, and Chairmen increase daily return volatility by 30%-100% on the date of announcement, while CFOs and COOs may also cause some limited market response. Controlling for these five officers eliminates statistically significant correlations between idiosyncratic stock price volatility and other management change announcements such as CIO, CMO and Vice President. We find no evidence that stock price volatility responds differently to leadership change announcements than to other volatility shocks.