The Benefits of Transaction-Level Data: The Case of Nielsen Scanner Data

65 Pages Posted: 8 Jan 2021 Last revised: 28 Mar 2022

See all articles by Ilia D. Dichev

Ilia D. Dichev

Emory University - Department of Accounting

Jingyi Qian

Emory University - Department of Accounting

Date Written: February 5, 2022

Abstract

This study explores whether NielsenIQ scanner data from U.S. retailers contain incremental information about the GAAP revenue of corresponding manufacturers. Using retail product/store/week data from 2006 to 2018, we construct a measure of aggregated consumer purchases at the manufacturer/quarter level, and find that it strongly predicts GAAP revenues. In addition, analyst forecasts of revenues have predictable errors, which implies that analysts do not fully incorporate the information in consumer purchases. Exploring investment implications, we find that hedge portfolios that buy (sell) stocks of firms with high (low) abnormal consumer purchases generate annualized returns on the magnitude of 14% to 19%, depending on specification. Overall, these findings suggest that scanner data on consumer purchases provide an information edge over GAAP revenue, shedding light on the benefits of using transactional data.

Keywords: Transactional data, Consumer purchase, Equity valuation, Market efficiency

JEL Classification: G12, G14, M31, M41

Suggested Citation

Dichev, Ilia D. and Qian, Jingyi, The Benefits of Transaction-Level Data: The Case of Nielsen Scanner Data (February 5, 2022). Journal of Accounting & Economics (JAE), Forthcoming, Available at SSRN: https://ssrn.com/abstract=3740052 or http://dx.doi.org/10.2139/ssrn.3740052

Ilia D. Dichev (Contact Author)

Emory University - Department of Accounting ( email )

1300 Clifton Road
Atlanta, GA 30322-2722
United States

Jingyi Qian

Emory University - Department of Accounting ( email )

Goizueta Business School
1300 Clifton Road
Atlanta, GA 30322
United States

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