DebtIssuance · External financing · Spiess and Affleck-Graves (1999)
Debt Issuance
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1972Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
−0.30%
95% interval −0.63% to 0.17%
Next year
−0.16%
95% interval −0.54% to 0.29%
Next five years
0.23%
95% interval −0.28% to 0.73%
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
+345% since 1972Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q1–2024Q4 | 2.96% | 5.22% | 0.57 | 4.13 |
| 2020Q1–2024Q4 | −3.38% | 9.42% | −0.36 | −0.80 |
| 2024Q1–2024Q4 | −1.91% | 9.78% | −0.20 | −0.20 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | −0.119 | −0.248 – 0.064 | 0.93 |
| Next year | −0.064 | −0.210 – 0.112 | 0.80 |
| Next five years | 0.089 | −0.107 – 0.280 | 0.18 |