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

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