Download this Paper Open PDF in Browser

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

67 Pages Posted: 29 Aug 2017  

Seda Oz

University of Waterloo - School of Accounting and Finance

Steve Fortin

McGill University - Desautels Faculty of Management

Date Written: August 27, 2017

Abstract

We quantitatively measure the interactions between the discretionary consumption and the stock market. We demonstrate daily theatrical box office earnings as a proxy for the discretionary consumption and document a statistically significant positive association between changes in box office earnings and daily aggregate stock returns. Our results suggest that changes in box office earnings can predict stock returns up to 4 days. We also demonstrate a hypothetical trading strategy using changes in box office earnings that yields nontrivial excess returns with little risk. These findings suggest that box office effect is an economically important factor for equities. To the extent that box office earnings capture discretionary consumption, the framework implies that deviations from investors’ discretionary consumption trends summarize agents' expectations of future returns on the market portfolio.

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 (August 27, 2017). Available at SSRN: https://ssrn.com/abstract=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

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada
514-398-4021 (Phone)
514-398-3876 (Fax)

Paper statistics

Downloads
57
Rank
316,601
Abstract Views
252