Is it time for popcorn? Daily box office earnings and aggregate stock returns
We quantitatively measure the interactions between daily consumption and the stock market. We find that daily consumption, proxied by the cyclical component of theatrical box office earnings, can significantly and positively predict stock returns for up to 5 days. We also demonstrate a trading strat...
Saved in:
Published in | Financial management Vol. 52; no. 2; pp. 375 - 401 |
---|---|
Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Tampa
Financial Management Association
22.06.2023
Blackwell Publishing Ltd |
Subjects | |
Online Access | Get full text |
Cover
Loading…
Summary: | We quantitatively measure the interactions between daily consumption and the stock market. We find that daily consumption, proxied by the cyclical component of theatrical box office earnings, can significantly and positively predict stock returns for up to 5 days. We also demonstrate a trading strategy using our consumption measures that yield nontrivial excess returns with little risk. These findings suggest that the box office effect is an economically important factor for equities. The framework implies that daily consumption carries value‐relevant public information, which leads to price reaction at a daily frequency. |
---|---|
ISSN: | 0046-3892 1755-053X |
DOI: | 10.1111/fima.12408 |