Alistair Owen pours most of his paycheque into what he calls a travel-and-lifestyle fund.

"I'm not saving up to buy anything," said the 28-year-old engineer, who shares a rented apartment with two flatmates in South London. "I prefer to go out for dinner at a nice place, pay a round at the pub or explore a new area of the world. I feel like I would be losing out on living if I chose to own stuff instead."

The stock market is starting to reflect his priorities and those of his generation – the millennials, those born between 1980 and 2000. Leisure and travel-related stocks, including pubs, airlines and pizza restaurants, have trumped retailers since consumer confidence picked up following the financial crisis. For U.S. and European indexes tracking the industries, the outperformance just reached the highest since at least 2011.

"Experiences help millennials shape their identity and create memories, to a greater degree than for older generations," said Sarbjit Nahal, head of thematic investing at Bank of America Corp. in London. "You'll want to look at companies focused on live sporting events, festivals, online gaming, the sharing economy, travel and even music streaming – all of these are experiences that millennials can share with their friends."

What little evidence – it's largely anecdotal – there is, it tends to back up the armchair psychology. A survey by market-research firm Harris Poll and Eventbrite Inc., an online marketplace for ticket sales, showed 78 per cent of millennials would rather pay for an experience than material goods. That compares with 59 per cent for baby boomers. Some 82 per cent of millennials said they went to a live event in the past year – concerts and festivals – and 72 per cent said they plan to increase spending on such outings.

Andrew Oswald, an economics professor at Britain's University of Warwick in Coventry, says today's young consumers feel as if they own enough already. With their material desires almost completely exhausted, millennials need alternative roads to satisfaction, he says, referring to research by Thomas Gilovich, a psychology professor at Cornell University.

"It's now experiences that people are short on, not items," says Prof. Oswald, whose research focuses on what he calls the economics of happiness.

Underscoring his point, merchants aren't reaping the benefits of all the extra cash that consumers were meant to funnel their way from lower fuel costs. The latest retail sales data missed projections in Britain, the United States and in the euro area. U.S. chains ranging from Macy's Inc. to Best Buy Co. reported slowing holiday sales.

In contrast, sales at companies such as pub operator Greene King PLC have been strong. Low-cost airlines Ryanair Holdings PLC and easyJet PLC have soared almost sevenfold since their crisis-era lows. Ski operator Vail Resorts Inc. is up more than 700 per cent since the U.S. market bottomed in 2009. Airbnb Inc.'s $25.5-billion (U.S.) valuation is more than Macy's and Best Buy's combined. Investors will be soon be able to buy an exchange-traded fund focused on millennials, which will include companies involved in social media, e-commerce, mobile technology, healthy lifestyles, travel, leisure and the sharing economy, according to its Dec. 11 prospectus.

A sacrifice for all this fun: savings. With incomes shrinking, only 34 per cent of millennials worldwide said they saved enough money each month, according to Nielsen's 2015 Global Generational Lifestyles survey. They're also not that interested in allocating funds to acquire the totems of their parents. Buying a car was a top priority for only 15 per cent of millennials in a Goldman Sachs Group survey cited in a 2015 report. The number was the same for purchasing a television, and just 10 per cent for a luxury bag.

Even with some cash from selling the flat she'd bought with her now ex-husband, the last thing on Selina Mathews's mind was getting back on the property ladder. The 30-year-old shares a London apartment with two friends and regularly dines out – Nielsen's data show six in 10 millennials go out to eat at least once a week, twice the percentage of baby boomers.

"I don't put much of my monthly salary aside at all," said Ms. Mathews, who works on the trading floor at an American investment bank. It's bonus time, and she's planning trips to the Philippines and Japan. "I'd rather rent a really nice room, explore the world, have some fun with my friends and enjoy my life rather than own a bunch of things. There's an element of freedom in that."

Jack Huang, a Californian in London, is building his business on that outlook. The 35-year-old founded the website Truly Experiences in 2012, when he couldn't find a suitable wedding gift for a food-loving business school friend. The company sells everything from $71 whisky tastings to a half-million-dollar trip to the edge of the Earth's atmosphere.

"People want to buy happiness," Mr. Huang said at a London café in January. "An experience is unique because it gives them that in three stages: the anticipation, the event itself, and the memories after. Not only does that final stage last forever, but you can also share it."