AbnormalAccruals · Accruals · Xie (2001)

Abnormal Accruals

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.71%

95% interval 0.10% to 1.31%

Next year

0.72%

95% interval 0.09% to 1.31%

Next five years

0.73%

95% interval 0.06% to 1.34%

Next quarter

0.23%

95% interval −0.10% to 0.58%

Next year

0.24%

95% interval −0.12% to 0.61%

Next five years

0.29%

95% interval −0.17% to 0.72%

Next quarter

0.42%

95% interval −0.79% to 1.60%

Next year

0.48%

95% interval −0.70% to 1.59%

Next five years

0.68%

95% interval −0.48% to 1.69%

Next quarter

−0.27%

95% interval −0.96% to 0.50%

Next year

−0.19%

95% interval −0.88% to 0.53%

Next five years

0.04%

95% interval −0.70% to 0.73%

Cumulative market-adjusted return

+384% since 1972Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1972Q3–2024Q4	3.43%	9.07%	0.38	2.74
2020Q1–2024Q4	3.87%	14.89%	0.26	0.58
2024Q1–2024Q4	−1.03%	2.50%	−0.41	−0.41
1972Q3–2024Q4	1.63%	5.39%	0.30	2.20
2020Q1–2024Q4	1.90%	7.29%	0.26	0.58
2024Q1–2024Q4	−4.01%	10.66%	−0.38	−0.38
1972Q3–2024Q4	3.82%	13.60%	0.28	2.04
2020Q1–2024Q4	−5.85%	20.30%	−0.29	−0.64
2024Q1–2024Q4	−10.57%	9.79%	−1.08	−1.08
1972Q3–2024Q4	0.87%	8.56%	0.10	0.73
2020Q1–2024Q4	0.57%	12.33%	0.05	0.10
2024Q1–2024Q4	−13.46%	16.66%	−0.81	−0.81

Horizon	Mean	95% interval	P(neg)
Next quarter	0.157	0.023 – 0.289	0.01
Next year	0.158	0.021 – 0.289	0.01
Next five years	0.161	0.014 – 0.295	0.02
Next quarter	0.084	−0.036 – 0.215	0.09
Next year	0.090	−0.043 – 0.226	0.09
Next five years	0.108	−0.062 – 0.269	0.10
Next quarter	0.061	−0.118 – 0.235	0.27
Next year	0.071	−0.104 – 0.234	0.22
Next five years	0.100	−0.071 – 0.249	0.11
Next quarter	−0.063	−0.228 – 0.117	0.76
Next year	−0.044	−0.208 – 0.123	0.69
Next five years	0.011	−0.164 – 0.172	0.44