Disaggregated Sales and Stock Returns

Management Science, forthcoming

Asian Finance Association (AsianFA) 2018 Conference

56 Pages Posted: 9 Jan 2017 Last revised: 29 Mar 2021

See all articles by Sumit Agarwal

Sumit Agarwal

National University of Singapore

Wenlan Qian

National University of Singapore - NUS Business School

Xin Zou

Hong Kong Baptist University (HKBU)

Date Written: October 12, 2020


Using transaction-level credit card spending from a large US 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 inter-quintile increase in the adjusted customer spending during a firm’s fiscal quarter leads to 1.5 percentage points increase in the 60-day post-earnings-announcement CAR. The predictability concentrates in consumer-oriented 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.

Keywords: return predictability, informed investors, disaggregated sales, customer demand, credit cards, consumption, household finance, financial institution, big data

JEL Classification: D12, G14, H31

Suggested Citation

Agarwal, Sumit and Qian, Wenlan and Zou, Xin, Disaggregated Sales and Stock Returns (October 12, 2020). Management Science, forthcoming, Asian Finance Association (AsianFA) 2018 Conference, Available at SSRN: https://ssrn.com/abstract=2892184 or http://dx.doi.org/10.2139/ssrn.2892184

Sumit Agarwal

National University of Singapore ( email )

15 Kent Ridge Drive
Singapore, 117592
8118 9025 (Phone)

HOME PAGE: http://www.ushakrisna.com

Wenlan Qian

National University of Singapore - NUS Business School ( email )

15 Kent Ridge Drive
Singapore 117592, 119245
(65) 65163015 (Phone)

HOME PAGE: http://sites.google.com/site/wenlanqian/

Xin Zou (Contact Author)

Hong Kong Baptist University (HKBU) ( email )

Department of Economics
Kowloon, Hong Kong
Hong Kong

HOME PAGE: http://sites.google.com/site/shirleyxinzou/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics