This article uses consumer research conducted in the early 1940s to interrogate and interpret a new dataset of daily box-office returns for 22 cinemas in the city of Philadelphia over 33 weeks traversing 1935–36. Our findings attempt to contextualize the observation made by the 1940s market investigators that just under half of cinema audiences were non-selective. It does this by a detailed analysis of the system of film distribution in which films were distributed in a hierarchical manner, from first-run through to fourth-run cinemas. Through an analysis of the variation in the performance of films at each level of the distribution hierarchy, and the impact that this variation had on the distribution of film revenues, we conclude that the impact of non-selective audiences on film outcomes was limited, irrespective of the relative importance of this audience component. We conclude by comparing and contrasting risk environments of the 1930s and contemporary film industries.