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
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: Suggested Citation