General stable models of the rate of return to Hollywood films

W. Walls

No 2014-53, Working Papers from Department of Economics, University of Calgary

Abstract: We use the non-symmetric stable distribution to quantify the returns to investments in motion pictures to properly account for asymmetry and infinite variance. We first quantify the unconditional distribution of returns using the normal distribution, the symmetric stable distribution, and the non-symmetric stable distribution and find that the normal and symmetric stable models can be rejected in favor of the non-symmetric stable model. We then model the parameters of the non-symmetric stable distribution---location, dispersion, skewness, and tail exponent---as functions of explanatory variables including a film's budget, presence of marquee (star) talent, and the number of screens on which a film is shown. The location of the returns distribution is increasing in budgets, marquee talent reduces dispersion, and the tail exponent is increasing in a film's budget. Even though the variance of film returns is infinite---so that point predictions have no precision---it is possible to model accurately the conditional probability distribution of film returns. Practical implications and applications of the results are discussed.

Keywords: skew-stable regression model; motion-picture industry (search for similar items in EconPapers)
Date: 2014-09-23
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:clg:wpaper:2014-53

Access Statistics for this paper

More papers in Working Papers from Department of Economics, University of Calgary Contact information at EDIRC.
Bibliographic data for series maintained by Department of Economics ().