Home News Content

Research | Online Sales, Market Response and Future Stock Returns

Time: 2022-12-01 16:34 Print

This article is edited from China Journal of Economics, Vol. 9, No. 2, 2022


Wang Zhengwei, Associate Dean, PBC School of Finance, Tsinghua University

Cui Xiangbo, Doctoral Candidate, Postdoctoral Research Station, Industrial and Commercial Bank of China

Liao Li (corresponding author) Professor, PBC School of Finance, Tsinghua University


This article examines the predictive effect of online sales data on future stock returns, basing on listed companies of the consumer sector in the A-share market. The research finds that the monthly online sales growth rate can be used to predict stock returns of the followed month, and portfolios formed based on online sales growth rates deliver significant excessive returns. The paper further empirically analyzes two phenomenons in regard to online sales data: 1. online sales data contains information related to a company's operating performance; 2. stock prices cannot respond to these information in a timely manner. The study found that monthly online sales growth rate is a significant indicator of corporate revenue growth and changes in profitability, and that portfolio returns are the highest in the second week after portfolio was formed. In addition, this article also finds that online sales data contains new information beyond conventional information that affects stock pricing. The findings of this article are significant for understanding the roles of alternative data, including online sales data in capital markets and their market effectiveness.

Keywords: Online sales data; stock returns; market response; alternative data


The results show that:

  1. The online sales data of China's A-share market are useful for investment purposes, and investors who hold timely access to such data will be able to predict stock returns and gain excessive returns.

  2. Online sales data contains new information beyond the conventional financial information that affects stock pricing.

The article goes further to identify the mechanisms by which online sales data can bring excess returns.

  1. Online sales data contain information pertaining to the operating performance of a listed company and can be used to predict the operating revenue and profitability of the listed company.

  2. There is a delay in the response of stock prices to the information of online sales data, which cannot be reflected in stock prices in a timely manner.

Therefore, investors who poccess timely access to such data will have an information advantage over other investors in the stock market and better understand the potential value of the company and make investment decisions before the market.

Policy Suggestions

In recent years, alternative data become more obvious and are applied in economic analysis and investment research. Alternative data are new to both industry and academia, and there is still very little academic research. In particular, there is also much controversy whether alternative data can provide incremental information to the capital markets and predict stock returns.

This article provides new empirical evidence to the mentioned problem. The case of online sales in China's A-share market can help capital market players gain insight into the characteristics of alternative data and its information transmission methods.

We hope the research will help regulators and investors realize the value of alternative data and improve market efficiency, while it is also important to guard against possible risks of significant stock price volatility caused by alternative data.