Is it Time for Popcorn? Daily Box Office Earnings and Aggregate Stock Returns

Forthcoming. Financial Management

50 Pages Posted: 29 Aug 2017 Last revised: 7 Sep 2022

See all articles by Seda Oz

Seda Oz

University of Waterloo - School of Accounting and Finance

Steve Fortin

University of Waterloo - School of Accounting and Finance

Date Written: September 6, 2022

Abstract

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 five days. We also demonstrate a trading strategy using our consumption measures that yield non-trivial 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.

Keywords: Predictability of stock returns, Information, Discretionary Consumption, Trading strategy, box office earnings, asset pricing implications

JEL Classification: G11, G12, G14

Suggested Citation

Oz, Seda and Fortin, Steve, Is it Time for Popcorn? Daily Box Office Earnings and Aggregate Stock Returns (September 6, 2022). Forthcoming. Financial Management, Available at SSRN: https://ssrn.com/abstract=3026910 or http://dx.doi.org/10.2139/ssrn.3026910

Seda Oz (Contact Author)

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1 N2L 3G1
Canada

Steve Fortin

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1 N2L 3G1
Canada

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
313
Abstract Views
1,694
Rank
206,074
PlumX Metrics