Research On The Relationship Between China Movie Box Office And Abnormal Return Of Investors' Stock

For the listed company of which the main business is movie production and distribution,the major source of operation income and profits is its share of the box office of the movies it invested.China has the second largest movie market in the world and the market is mature with intense competition.To invest the production and distribution of a domestic movie is often a business adventure whose cost,risk and return are all very high.The whole year's performance of a listed company may depend on the movie box of several key movies that it has invested.Accordingly,the company's stock value and return will be closely related to those movies' box office.We calculate the stock abnormal return of a single movie company using the return of the stock portfolio consisted of movie industry stocks as the benchmark to get rid of the common fluctuation of stock market and focus on the influence by the movie release.This paper applies stock pricing model,financial information efficiency theory and behavioral finance theory to study the dynamic relationship between china movie box office and abnormal return of investors' stock.In this research,we first propose a series of theoretic hypothesis based on the existing studies on the influencing factors of movie box office and stock abnormal return,as well as the supply-and-demand relationship theory and the investor attention theory.Then we accordingly collected the relevant data between 2017-2019 on the domestic movies and listed companies of A shares that invested them to construct 61 instances for empirical study.We use the approach of event study to build econometrics models to test the dynamic relationship between the box office and the stock abnormal return of the companies who invested them.The results show that:(1)the movie's box office is positively associated with the corresponding company's stock abnormal return during the week just before and after the movie's release date;(2)the movie's box office is negatively associated with the corresponding company's stock abnormal return during the third week after the movie's release date;(3)the relative expectation of the movie's box office is positively associated with the corresponding company's stock abnormal return during the week before the movie's release date.Last,we perform a series of robustness check to validate the empirical results of this study and demonstrate the results by the case study of 3 typical movies.This study provides managerial implications for the listed companies in the movie industry to perform market value management,could help the stock investors of such companies make better decisions,and also may serve as a reference for the securities regulatory commission to regulate the behavior of inside trading.