Online Appendix: Consumer Spending and the Cross-Section of Stock Returns

17 Pages Posted: 8 Feb 2022

See all articles by Tarun Gupta

Tarun Gupta

INVESCO Global Asset Management, N.A.

Edward Leung

Invesco

Viorel Roscovan

Invesco

Date Written: November 22, 2021

Abstract

In our paper, Gupta, Leung, and Roscovan (2021), we study the information content of consumer spending on the cross-section of stock returns. The authors find that consumer spending, measured by consumer credit and debit card transactions, pertain important information about future earnings announcements and subsequent stock returns. In this online appendix, we subject our main results to a battery of robustness tests which we discuss in greater detail. We consider alternative measures of earnings surprise, alternative ways to construct the portfolio based on transactions data, and alternative definitions for the momentum factor. We conclude that our results survive this battery of robustness and qualitatively remain unchanged.

Keywords: D12, G14, H31

JEL Classification: Consumer spending, consumer transactions, credit cards, debit cards, return predictability

Suggested Citation

Gupta, Tarun and Leung, Edward and Roscovan, Viorel, Online Appendix: Consumer Spending and the Cross-Section of Stock Returns (November 22, 2021). Available at SSRN: https://ssrn.com/abstract=3969435 or http://dx.doi.org/10.2139/ssrn.3969435

Tarun Gupta

INVESCO Global Asset Management, N.A. ( email )

Atlanta, GA 30309
United States

Edward Leung

Invesco ( email )

An der Welle 5
Frankfurt am Main, 60322
Germany

Viorel Roscovan (Contact Author)

Invesco ( email )

An der Welle 5
Frankfurt am Main, 60322
Germany

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