AOP · Other · Frankel and Lee (1998)

Analyst Optimism

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.80%

95% interval 0.03% to 1.56%

Next year

0.79%

95% interval 0.01% to 1.57%

Next five years

0.77%

95% interval −0.09% to 1.61%

Next quarter

0.97%

95% interval 0.47% to 1.48%

Next year

0.95%

95% interval 0.40% to 1.51%

Next five years

0.89%

95% interval 0.13% to 1.59%

Next quarter

0.54%

95% interval −0.50% to 1.56%

Next year

0.57%

95% interval −0.47% to 1.56%

Next five years

0.67%

95% interval −0.40% to 1.64%

Next quarter

0.78%

95% interval 0.10% to 1.49%

Next year

0.80%

95% interval 0.08% to 1.50%

Next five years

0.84%

95% interval 0.00% to 1.59%

Cumulative market-adjusted return

+305% since 1976Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1976Q3–2024Q4	3.57%	11.83%	0.30	2.10
2020Q1–2024Q4	4.61%	16.68%	0.28	0.62
2024Q1–2024Q4	5.01%	1.71%	2.92	2.92
1976Q3–2024Q4	4.59%	8.47%	0.54	3.77
2020Q1–2024Q4	4.28%	10.54%	0.41	0.91
2024Q1–2024Q4	4.87%	6.43%	0.76	0.76
1976Q3–2024Q4	3.52%	13.22%	0.27	1.85
2020Q1–2024Q4	−3.11%	16.73%	−0.19	−0.42
2024Q1–2024Q4	−4.33%	6.06%	−0.71	−0.71
1976Q3–2024Q4	4.33%	9.79%	0.44	3.08
2020Q1–2024Q4	3.80%	13.20%	0.29	0.64
2024Q1–2024Q4	−1.73%	7.81%	−0.22	−0.22

Horizon	Mean	95% interval	P(neg)
Next quarter	0.136	0.005 – 0.265	0.02
Next year	0.134	0.002 – 0.266	0.02
Next five years	0.130	−0.015 – 0.272	0.04
Next quarter	0.231	0.112 – 0.352	0.00
Next year	0.225	0.094 – 0.358	0.00
Next five years	0.211	0.031 – 0.375	0.01
Next quarter	0.082	−0.077 – 0.236	0.16
Next year	0.087	−0.072 – 0.237	0.14
Next five years	0.101	−0.061 – 0.249	0.10
Next quarter	0.160	0.021 – 0.305	0.01
Next year	0.163	0.016 – 0.308	0.01
Next five years	0.172	0.001 – 0.325	0.02