该吃爆米花了吗？每日票房收入和股票总回报

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Financial Management Pub Date : 2022-09-08 DOI:10.1111/fima.12408

Seda Oz, Steve Fortin

{"title":"该吃爆米花了吗？每日票房收入和股票总回报","authors":"Seda Oz, Steve Fortin","doi":"10.1111/fima.12408","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 2","pages":"375-401"},"PeriodicalIF":2.9000,"publicationDate":"2022-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Is it time for popcorn? Daily box office earnings and aggregate stock returns\",\"authors\":\"Seda Oz, Steve Fortin\",\"doi\":\"10.1111/fima.12408\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>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.</p>\",\"PeriodicalId\":48123,\"journal\":{\"name\":\"Financial Management\",\"volume\":\"52 2\",\"pages\":\"375-401\"},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2022-09-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/fima.12408\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Management","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/fima.12408","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们定量地衡量了日常消费和股票市场之间的相互作用。我们发现，以影院票房收入的周期性成分为代表的日常消费可以显著而积极地预测长达5天的股票回报。我们还展示了一种使用我们的消费衡量标准的交易策略，该策略在几乎没有风险的情况下产生了非凡的超额回报。这些发现表明，票房效应是股市的一个重要经济因素。该框架意味着日常消费携带与价值相关的公共信息，从而导致日常频率的价格反应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

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

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Financial Management BUSINESS, FINANCE-

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.