AccrualsBM · Valuation · Bartov and Kim (2004)
Book-to-market and accruals
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1964Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
3.57%
95% interval 2.10% to 5.08%
Next year
3.59%
95% interval 2.03% to 5.07%
Next five years
3.63%
95% interval 1.81% to 5.13%
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+770,153% since 1964Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1964Q3–2024Q4 | 17.16% | 20.94% | 0.82 | 6.36 |
| 2020Q1–2024Q4 | 18.53% | 21.89% | 0.85 | 1.89 |
| 2024Q1–2024Q4 | 24.91% | 25.15% | 0.99 | 0.99 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.342 | 0.202 – 0.483 | 0.00 |
| Next year | 0.343 | 0.194 – 0.484 | 0.00 |
| Next five years | 0.346 | 0.172 – 0.490 | 0.00 |