Consumer Spending and the Cross-Section of Stock Returns

Online Appendix: Consumer Spending and the Cross-Section of Stock Returns

AuthorsTarun Gupta; Edward Leung; Viorel Roşcovan

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=3969435

The strategy trades 275 US Consumer Discretionary stocks using alternative consumer demand data. Stocks are ranked monthly by year-over-year changes in a SALES INDEX, going long on improving stocks and short on worsening stocks, with equal-weighted monthly rebalancing.

Consumer demand data provide timely, less noisy insights into stock popularity and future returns. Using alternative data sources gives an informational edge, resulting in statistically and economically significant returns robust across transaction data types.