Alternative Data in Action - Staying ahead with credit card data

Präsentation vom 24. November 2022
Members Only
Dr. Viorel Roscovan

We study the information content of credit and debit card transactions, showing that consumer spending data positively predict various measures of a company’s future earnings surprises and are closely correlated with future returns. A long-short portfolio that was built on the basis of a real-time sell signal generates statistically and economically significant net returns of 16% per annum, net of transaction costs and after controlling for the common sources of systematic factor returns.

Winner of the CFA Society Germany Research Award 2022

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