CompEquIss · External financing · Daniel and Titman (2006)

Composite equity issuance

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1931Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.56%

95% interval −0.25% to 1.35%

Next year

0.55%

95% interval −0.27% to 1.38%

Next five years

0.53%

95% interval −0.37% to 1.46%

Next quarter

0.34%

95% interval −0.28% to 0.97%

Next year

0.36%

95% interval −0.33% to 1.04%

Next five years

0.40%

95% interval −0.49% to 1.28%

Next quarter

1.08%

95% interval 0.07% to 2.12%

Next year

1.05%

95% interval 0.07% to 2.09%

Next five years

0.96%

95% interval −0.05% to 2.04%

Next quarter

0.77%

95% interval 0.04% to 1.47%

Next year

0.73%

95% interval −0.08% to 1.55%

Next five years

0.63%

95% interval −0.49% to 1.77%

Cumulative market-adjusted return

+126% since 1931Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1931Q2–2024Q4	2.12%	16.38%	0.13	1.26
2020Q1–2024Q4	2.55%	17.31%	0.15	0.33
2024Q1–2024Q4	12.26%	15.78%	0.78	0.78
1931Q2–2024Q4	1.62%	13.51%	0.12	1.16
2020Q1–2024Q4	1.29%	11.90%	0.11	0.24
2024Q1–2024Q4	4.47%	7.05%	0.63	0.63
1931Q2–2024Q4	3.83%	18.60%	0.21	1.99
2020Q1–2024Q4	9.38%	24.85%	0.38	0.84
2024Q1–2024Q4	20.34%	16.79%	1.21	1.21
1931Q2–2024Q4	2.22%	15.73%	0.14	1.37
2020Q1–2024Q4	4.07%	13.86%	0.29	0.66
2024Q1–2024Q4	9.72%	4.52%	2.15	2.15

Horizon	Mean	95% interval	P(neg)
Next quarter	0.068	−0.030 – 0.166	0.09
Next year	0.067	−0.033 – 0.169	0.10
Next five years	0.065	−0.046 – 0.178	0.12
Next quarter	0.051	−0.041 – 0.145	0.14
Next year	0.053	−0.049 – 0.155	0.15
Next five years	0.059	−0.072 – 0.189	0.18
Next quarter	0.117	0.008 – 0.229	0.02
Next year	0.113	0.007 – 0.225	0.02
Next five years	0.103	−0.006 – 0.219	0.03
Next quarter	0.099	0.005 – 0.190	0.02
Next year	0.094	−0.011 – 0.199	0.04
Next five years	0.080	−0.062 – 0.225	0.13