An 'Online' Growth Premium: What Does Daily Online Sales Growth Say About Retail Investors’ Behavior and Stock Returns?

65 Pages Posted: 27 Apr 2022 Last revised: 29 Feb 2024

See all articles by Yuecheng Jia

Yuecheng Jia

Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development

Yangru Wu

Rutgers University, Newark - School of Business - Department of Finance & Economics

Date Written: April 12, 2022

Abstract

By using a proprietary real–time daily online sales data collected in China from 10–billion consumer accounts, this paper finds that the firm–level daily online sales growth (DOSG) can positively predict future one–day to more than three–month cumulative stock returns in the cross section, implying a growth premium in contrast to Lakonishok, Shleifer, and Vishny (1994). A spread portfolio that is long on stocks with high DOSG and short on stocks with low DOSG delivers an abnormal return of around 30 basis points per week. DOSG derives its short–run (e.g., weekly) predictability from investor sentiments, tilting to a behavioral explanation. However, it derives its medium to long–run (e.g., three–month) predictability from fundamentals, voting for a rational explanation. Our further evidence indicates that stocks with high DOSG experience more intensive information acquisition from retail investors and less severe crash risk, implying online sales as a channel for retail investors to get access to daily real–time firm fundamentals.

Keywords: Daily Online Sales Growth, Growth Premium, Retail Investors

JEL Classification: G12

Suggested Citation

Jia, Yuecheng and Wu, Yangru, An 'Online' Growth Premium: What Does Daily Online Sales Growth Say About Retail Investors’ Behavior and Stock Returns? (April 12, 2022). Available at SSRN: https://ssrn.com/abstract=4081724 or http://dx.doi.org/10.2139/ssrn.4081724

Yuecheng Jia (Contact Author)

Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development ( email )

39 South College Road
Beijing
China

Yangru Wu

Rutgers University, Newark - School of Business - Department of Finance & Economics ( email )

1 Washington Park
Newark, NJ 07102
United States
973-353-1146 (Phone)
973-353-1006 (Fax)

HOME PAGE: http://andromeda.rutgers.edu/~yangruwu

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
113
Abstract Views
369
Rank
439,112
PlumX Metrics