We construct vector‐valued modular forms on moduli spaces of curves and abelian varieties using effective divisors in projectivized Hodge bundles over moduli of curves. Cycle relations tell us the weight of these modular forms. In particular, we construct basic modular forms for genus 2 and 3. We also discuss modular forms on the moduli of hyperelliptic curves. In that case, the relative canonical bundle is a pull back of a line bundle on a ‐bundle over the moduli of hyperelliptic curves and we extend that line bundle to a compactification so that its push down is (close to) the Hodge bundle and use this to construct modular forms. In the Appendix, we use our method to calculate divisor classes in the dual projectivized k‐Hodge bundle determined by Gheorghita–Tarasca and by Korotkin–Sauvaget–Zograf.