Disaggregated Sales and Stock Returns

• 成果类型: Article
• 署名作者: Agarwal, Sumit; Qian, Wenlan; Zou, Xin
• 署名单位: National University of Singapore; Hong Kong Baptist University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3813
• 发表日期: 2021
• 页码: 7167-7183
• 关键词: Return predictability; informed investors; disaggregated sales; customer demand; Credit cards; consumption; household finance; Financial institution; big data

摘要

Using transaction-level credit-card spending from a large U.S. financial institution, we show that disaggregated sales provide accurate and persistent signals of customer demand relevant to a firm's stock pricing. After controlling for earnings and sales surprises, one interquintile increase in the adjusted customer spending during a firm's fiscal quarter leads to a 1.5 percentage point increase in the 60-day post-earnings announcement cumulative abnormal return. The predictability concentrates in consumeroriented firms, especially those relying more on indirect sales distribution channels. We also find a stronger return response to spending from high-FICO-score, high-liquidity, and loyal customers. The transmission speed of disaggregated sales information is slower than that of the earnings information, and small firms or firms far from their end customers exhibit a more delayed price response. Finally, the return implications of adjusted customer spending extend to firms along the production chain.