ChangeInRecommendation · Recommendation · Jegadeesh et al. (2004)

Change in recommendation

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1994Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.28%

95% interval −0.29% to 0.88%

Next year

0.28%

95% interval −0.33% to 0.90%

Next five years

0.29%

95% interval −0.47% to 1.02%

Next quarter

0.84%

95% interval 0.55% to 1.13%

Next year

0.83%

95% interval 0.47% to 1.19%

Next five years

0.80%

95% interval 0.23% to 1.33%

Next quarter

0.38%

95% interval −0.39% to 1.09%

Next year

0.36%

95% interval −0.42% to 1.12%

Next five years

0.27%

95% interval −0.63% to 1.19%

Next quarter

1.13%

95% interval 0.75% to 1.51%

Next year

1.09%

95% interval 0.64% to 1.57%

Next five years

1.01%

95% interval 0.29% to 1.74%

Cumulative market-adjusted return

+52% since 1994Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1994Q1–2024Q4	1.65%	7.86%	0.21	1.17
2020Q1–2024Q4	4.84%	9.68%	0.50	1.12
2024Q1–2024Q4	−1.65%	14.22%	−0.12	−0.12
1994Q1–2024Q4	6.48%	5.07%	1.28	7.11
2020Q1–2024Q4	3.95%	6.10%	0.65	1.45
2024Q1–2024Q4	4.85%	6.53%	0.74	0.74
1994Q1–2024Q4	1.28%	9.72%	0.13	0.74
2020Q1–2024Q4	6.85%	11.84%	0.58	1.29
2024Q1–2024Q4	5.42%	16.57%	0.33	0.33
1994Q1–2024Q4	7.56%	6.38%	1.18	6.59
2020Q1–2024Q4	4.39%	7.19%	0.61	1.36
2024Q1–2024Q4	8.87%	8.07%	1.10	1.10

Horizon	Mean	95% interval	P(neg)
Next quarter	0.071	−0.073 – 0.223	0.17
Next year	0.071	−0.084 – 0.230	0.19
Next five years	0.073	−0.119 – 0.258	0.22
Next quarter	0.342	0.225 – 0.458	0.00
Next year	0.335	0.190 – 0.475	0.00
Next five years	0.318	0.092 – 0.532	0.00
Next quarter	0.080	−0.079 – 0.226	0.15
Next year	0.074	−0.087 – 0.231	0.18
Next five years	0.056	−0.130 – 0.244	0.27
Next quarter	0.363	0.240 – 0.485	0.00
Next year	0.350	0.203 – 0.499	0.00
Next five years	0.317	0.090 – 0.544	0.00