Oh yes they do. It's official.
Joint HSE/CIPD research - 'Management Competencies for Preventing and Reducing Stress at Work' - shows that "a manager's behaviour can have a major impact on employees' stress levels affecting the well-being of employees and organisational performance."
When I told workmates about this, they rolled about laughing - and pointed out that expensive academic research was not necessary, the HSE could just have popped in and asked us!
Usefully (really), the HSE tells us that over 5 million UK workers report feeling extremely stressed at work. Their strategy for dealing with this, though, leaves a lot to be desired.
You can look at this stunningly insightful piece of work here.