Is it time for popcorn? Daily box office earnings and aggregate stock returns
研究发现每日票房收入的周期性成分能显著正向预测未来5天的股票回报，基于此构建的交易策略可获得超额收益，表明日常消费信息对股市有经济重要性。
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.