DivInit · Payout indicator · Michaely, Thaler and Womack (1995)
Dividend Initiation
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1926Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.42%
95% interval 0.72% to 2.14%
Next year
1.42%
95% interval 0.73% to 2.13%
Next five years
1.41%
95% interval 0.73% to 2.11%
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
+15,532% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 6.00% | 14.12% | 0.42 | 4.21 |
| 2020Q1–2024Q4 | 6.63% | 19.84% | 0.33 | 0.75 |
| 2024Q1–2024Q4 | 5.77% | 11.12% | 0.52 | 0.52 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.202 | 0.102 – 0.304 | 0.00 |
| Next year | 0.201 | 0.103 – 0.302 | 0.00 |
| Next five years | 0.200 | 0.103 – 0.299 | 0.00 |