BM · Valuation · Stattman (1980)

Book to market, original (Stattman 1980)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.85%

95% interval 0.13% to 1.59%

Next year

0.85%

95% interval 0.09% to 1.61%

Next five years

0.86%

95% interval −0.05% to 1.72%

Next quarter

1.80%

95% interval 1.12% to 2.46%

Next year

1.75%

95% interval 1.03% to 2.48%

Next five years

1.63%

95% interval 0.67% to 2.52%

Next quarter

1.52%

95% interval 0.52% to 2.47%

Next year

1.45%

95% interval 0.43% to 2.48%

Next five years

1.25%

95% interval −0.02% to 2.51%

Next quarter

1.94%

95% interval 1.10% to 2.81%

Next year

1.91%

95% interval 0.97% to 2.85%

Next five years

1.84%

95% interval 0.58% to 3.00%

Cumulative market-adjusted return

+887% since 1951Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	4.02%	13.54%	0.30	2.55
2020Q1–2024Q4	5.52%	20.73%	0.27	0.59
2024Q1–2024Q4	−0.85%	7.37%	−0.12	−0.12
1951Q3–2024Q4	7.59%	12.97%	0.59	5.02
2020Q1–2024Q4	16.21%	20.32%	0.80	1.78
2024Q1–2024Q4	6.61%	3.31%	2.00	2.00
1951Q3–2024Q4	5.47%	17.78%	0.31	2.64
2020Q1–2024Q4	15.66%	25.56%	0.61	1.37
2024Q1–2024Q4	3.30%	7.46%	0.44	0.44
1951Q3–2024Q4	8.76%	16.52%	0.53	4.54
2020Q1–2024Q4	18.69%	25.90%	0.72	1.61
2024Q1–2024Q4	1.00%	4.71%	0.21	0.21

Horizon	Mean	95% interval	P(neg)
Next quarter	0.126	0.019 – 0.235	0.01
Next year	0.126	0.013 – 0.238	0.01
Next five years	0.127	−0.008 – 0.254	0.03
Next quarter	0.278	0.174 – 0.381	0.00
Next year	0.271	0.160 – 0.383	0.00
Next five years	0.252	0.103 – 0.388	0.00
Next quarter	0.173	0.059 – 0.281	0.00
Next year	0.164	0.048 – 0.281	0.00
Next five years	0.140	−0.003 – 0.283	0.03
Next quarter	0.236	0.134 – 0.342	0.00
Next year	0.233	0.118 – 0.346	0.00
Next five years	0.222	0.070 – 0.362	0.00