ChForecastAccrual · Earnings forecast · Barth and Hutton (2004)
Change in Forecast and Accrual
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1976Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
0.57%
95% interval 0.24% to 0.92%
Next year
0.57%
95% interval 0.22% to 0.93%
Next five years
0.60%
95% interval 0.19% to 0.96%
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
+306% since 1976Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1976Q3–2024Q4 | 3.01% | 4.66% | 0.65 | 4.50 |
| 2020Q1–2024Q4 | 2.11% | 5.13% | 0.41 | 0.92 |
| 2024Q1–2024Q4 | 2.57% | 2.81% | 0.91 | 0.91 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.244 | 0.102 – 0.395 | 0.00 |
| Next year | 0.247 | 0.096 – 0.397 | 0.00 |
| Next five years | 0.257 | 0.081 – 0.413 | 0.00 |