Activism1 · Other · Cremers and Nair (2005)

Takeover vulnerability

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1990Q4 to 2006Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.18%

95% interval −0.70% to 0.41%

Next year

−0.16%

95% interval −0.73% to 0.43%

Next five years

−0.12%

95% interval −0.80% to 0.55%

Next quarter

−0.18%

95% interval −0.70% to 0.41%

Next year

−0.16%

95% interval −0.73% to 0.43%

Next five years

−0.12%

95% interval −0.80% to 0.55%

Next quarter

−0.04%

95% interval −0.86% to 0.90%

Next year

−0.01%

95% interval −0.87% to 0.91%

Next five years

0.07%

95% interval −0.90% to 1.01%

Next quarter

−0.04%

95% interval −0.87% to 0.91%

Next year

−0.01%

95% interval −0.87% to 0.91%

Next five years

0.07%

95% interval −0.90% to 1.01%

Next quarter

−0.25%

95% interval −0.79% to 0.36%

Next year

−0.23%

95% interval −0.82% to 0.38%

Next five years

−0.18%

95% interval −0.87% to 0.51%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

−11% since 1990Q4 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1990Q4–2006Q4	−0.51%	6.01%	−0.08	−0.34
2002Q1–2006Q4	−2.26%	3.69%	−0.61	−1.37
2006Q1–2006Q4	1.12%	3.37%	0.33	0.33
1990Q4–2006Q4	−0.51%	6.01%	−0.08	−0.34
2002Q1–2006Q4	−2.26%	3.69%	−0.61	−1.37
2006Q1–2006Q4	1.12%	3.37%	0.33	0.33
1990Q4–2006Q4	0.82%	8.53%	0.10	0.39
2002Q1–2006Q4	−4.30%	6.94%	−0.62	−1.38
2006Q1–2006Q4	0.65%	6.56%	0.10	0.10
1990Q4–2006Q4	0.82%	8.53%	0.10	0.39
2002Q1–2006Q4	−4.30%	6.94%	−0.62	−1.38
2006Q1–2006Q4	0.65%	6.56%	0.10	0.10
1990Q4–2006Q4	−1.03%	6.19%	−0.17	−0.67
2002Q1–2006Q4	−2.47%	3.72%	−0.67	−1.49
2006Q1–2006Q4	0.63%	3.44%	0.18	0.18

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.060	−0.235 – 0.138	0.75
Next year	−0.055	−0.243 – 0.145	0.72
Next five years	−0.040	−0.266 – 0.183	0.63
Next quarter	−0.060	−0.236 – 0.138	0.75
Next year	−0.055	−0.243 – 0.145	0.72
Next five years	−0.040	−0.266 – 0.184	0.63
Next quarter	−0.010	−0.204 – 0.211	0.56
Next year	−0.003	−0.205 – 0.213	0.52
Next five years	0.017	−0.210 – 0.237	0.44
Next quarter	−0.010	−0.204 – 0.212	0.56
Next year	−0.003	−0.206 – 0.214	0.52
Next five years	0.017	−0.210 – 0.237	0.43
Next quarter	−0.080	−0.258 – 0.115	0.80
Next year	−0.074	−0.264 – 0.122	0.78
Next five years	−0.059	−0.281 – 0.164	0.70