DivOmit · Payout indicator · Michaely, Thaler and Womack (1995)
Dividend Omission
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1928Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.65%
95% interval 0.72% to 2.58%
Next year
1.63%
95% interval 0.72% to 2.56%
Next five years
1.59%
95% interval 0.68% to 2.52%
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
+12,707% since 1928Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1928Q1–2024Q4 | 6.81% | 17.68% | 0.39 | 3.68 |
| 2020Q1–2024Q4 | 11.76% | 22.30% | 0.53 | 1.18 |
| 2024Q1–2024Q4 | 14.50% | 14.54% | 1.00 | 1.00 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.186 | 0.081 – 0.292 | 0.00 |
| Next year | 0.185 | 0.081 – 0.289 | 0.00 |
| Next five years | 0.180 | 0.077 – 0.285 | 0.00 |