AnalystValue · Valuation · Frankel and Lee (1998)

Analyst Value

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

Expected return · posterior mean, % per quarter

Next quarter

1.36%

95% interval 0.29% to 2.43%

Next year

1.33%

95% interval 0.20% to 2.47%

Next five years

1.26%

95% interval −0.16% to 2.58%

Next quarter

1.53%

95% interval 0.33% to 2.67%

Next year

1.49%

95% interval 0.32% to 2.66%

Next five years

1.39%

95% interval 0.12% to 2.63%

Next quarter

1.63%

95% interval 0.33% to 2.82%

Next year

1.55%

95% interval 0.26% to 2.84%

Next five years

1.34%

95% interval −0.24% to 2.87%

Next quarter

1.29%

95% interval 0.01% to 2.52%

Next year

1.26%

95% interval −0.00% to 2.52%

Next five years

1.18%

95% interval −0.17% to 2.53%

Cumulative market-adjusted return

+855% since 1976Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1976Q3–2024Q4	6.07%	17.25%	0.35	2.45
2020Q1–2024Q4	6.24%	24.07%	0.26	0.58
2024Q1–2024Q4	−2.87%	7.46%	−0.39	−0.39
1976Q3–2024Q4	6.29%	17.10%	0.37	2.56
2020Q1–2024Q4	11.96%	23.83%	0.50	1.12
2024Q1–2024Q4	−0.88%	15.93%	−0.06	−0.06
1976Q3–2024Q4	6.24%	19.23%	0.32	2.26
2020Q1–2024Q4	7.02%	25.97%	0.27	0.60
2024Q1–2024Q4	14.61%	19.00%	0.77	0.77
1976Q3–2024Q4	5.34%	18.65%	0.29	1.99
2020Q1–2024Q4	11.58%	26.10%	0.44	0.99
2024Q1–2024Q4	−6.40%	19.38%	−0.33	−0.33

Horizon	Mean	95% interval	P(neg)
Next quarter	0.159	0.033 – 0.283	0.01
Next year	0.155	0.023 – 0.287	0.01
Next five years	0.146	−0.018 – 0.300	0.04
Next quarter	0.180	0.038 – 0.315	0.01
Next year	0.175	0.037 – 0.313	0.01
Next five years	0.162	0.015 – 0.308	0.02
Next quarter	0.171	0.034 – 0.297	0.01
Next year	0.162	0.027 – 0.297	0.01
Next five years	0.139	−0.025 – 0.299	0.05
Next quarter	0.139	0.001 – 0.272	0.02
Next year	0.135	−0.000 – 0.272	0.03
Next five years	0.126	−0.018 – 0.272	0.04