AdExp · R&D · Chan, Lakonishok and Sougiannis (2001)

Advertising Expense

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1964Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.75%

95% interval −0.33% to 1.92%

Next year

0.79%

95% interval −0.38% to 1.97%

Next five years

0.89%

95% interval −0.53% to 2.21%

Next quarter

0.87%

95% interval −0.62% to 2.19%

Next year

0.90%

95% interval −0.53% to 2.18%

Next five years

1.01%

95% interval −0.34% to 2.24%

Next quarter

0.57%

95% interval −1.30% to 2.56%

Next year

0.67%

95% interval −1.26% to 2.59%

Next five years

0.95%

95% interval −1.18% to 2.91%

Next quarter

0.78%

95% interval −1.84% to 2.96%

Next year

0.92%

95% interval −1.51% to 2.94%

Next five years

1.31%

95% interval −0.75% to 3.05%

Cumulative market-adjusted return

+539% since 1964Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1964Q3–2024Q4	4.65%	18.41%	0.25	1.96
2020Q1–2024Q4	−1.95%	16.55%	−0.12	−0.26
2024Q1–2024Q4	2.30%	11.23%	0.20	0.20
1964Q3–2024Q4	4.91%	19.02%	0.26	2.01
2020Q1–2024Q4	4.47%	21.24%	0.21	0.47
2024Q1–2024Q4	−11.54%	13.42%	−0.86	−0.86
1964Q3–2024Q4	5.16%	28.03%	0.18	1.43
2020Q1–2024Q4	−3.93%	24.54%	−0.16	−0.36
2024Q1–2024Q4	−14.14%	11.39%	−1.24	−1.24
1964Q3–2024Q4	7.21%	24.94%	0.29	2.25
2020Q1–2024Q4	1.21%	31.62%	0.04	0.09
2024Q1–2024Q4	−24.35%	24.13%	−1.01	−1.01

Horizon	Mean	95% interval	P(neg)
Next quarter	0.082	−0.037 – 0.209	0.09
Next year	0.086	−0.042 – 0.214	0.09
Next five years	0.097	−0.057 – 0.240	0.10
Next quarter	0.091	−0.066 – 0.231	0.12
Next year	0.095	−0.056 – 0.230	0.10
Next five years	0.107	−0.036 – 0.235	0.06
Next quarter	0.041	−0.093 – 0.183	0.29
Next year	0.048	−0.090 – 0.185	0.25
Next five years	0.067	−0.084 – 0.207	0.17
Next quarter	0.062	−0.149 – 0.237	0.26
Next year	0.073	−0.122 – 0.235	0.21
Next five years	0.105	−0.060 – 0.245	0.09