Do we have to give employee’s file to a local district attorney investigator?

Q. I had a visit from an investigator for a local district attorney. She was investigating a former employee of ours and asked for information contained in the employee’s file (application, resume, etc.) Do I have any liability giving it to her or should I wait for a subpoena? The investigator said our company is not a focus of the investigation, but it would be best if we cooperate willingly. – Bill, New Jersey