Forthcoming in the Journal of Portfolio Management
By Ken Froot, Namho Kang, Gideon Ozik, and Ronnie Sadka
To predict firms’ fundamentals, the authors construct three proxies for real-time corporate sales
from fully distinct information sources: In-store foot traffic (IN-STORE), web traffic to
companies’ websites (WEB), and consumers’ interest level in corporate brands and products
(BRAND). The authors demonstrate that trading using these proxies, estimated for a sample of
330 firms over 2009–2020, result in significant net-of-transaction-costs profitability. During the
pandemic, WEB activity increases significantly while there is remarkable decrease in IN-
STORE, reflecting the migration of consumers from physical stores toward online. The results
suggest that the information contained in IN-STORE and BRAND is not immediately available
to investors, while the WEB information is diffused more quickly, and that overall information
diffusion worsened during the pandemic.
We will post a link to the Journal of Portfolio Management when the paper is published.