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...

Full description

Saved in:
Bibliographic Details
Published inFinancial management Vol. 52; no. 2; pp. 375 - 401
Main Authors Oz, Seda, Fortin, Steve
Format Journal Article
LanguageEnglish
Published Tampa Financial Management Association 22.06.2023
Blackwell Publishing Ltd
Subjects
Analysis
asset pricing implications
box office earnings
Consumption
daily consumption
Earnings
Financial management
Financial research
Industry sales and revenue
information
Motion picture industry
predictability of stock returns
Prices and rates
Securities markets
Securities trading
Stock markets
Stocks
Theaters
trading strategy
Canada
Online AccessGet full text

Cover

More Information
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