ChNAnalyst · Earnings event · Scherbina (2008)
Decline in Analyst Coverage
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1978Q2 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.25%
95% interval 0.21% to 2.28%
Next year
1.24%
95% interval 0.19% to 2.29%
Next five years
1.21%
95% interval 0.06% to 2.32%
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
+605% since 1978Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1978Q2–2024Q4 | 5.66% | 15.38% | 0.37 | 2.46 |
| 2020Q1–2024Q4 | 6.14% | 10.80% | 0.57 | 1.27 |
| 2024Q1–2024Q4 | −3.83% | 6.90% | −0.56 | −0.56 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.163 | 0.028 – 0.297 | 0.01 |
| Next year | 0.161 | 0.025 – 0.298 | 0.01 |
| Next five years | 0.157 | 0.008 – 0.302 | 0.02 |