Is it time for popcorn? Daily box office earnings and aggregate stock returns

Seda Oz and Steve Fortin

Financial Management, 2023, vol. 52, issue 2, 375-401

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 5 days. We also demonstrate a trading strategy using our consumption measures that yield nontrivial 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.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finmgt:v:52:y:2023:i:2:p:375-401

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