DivSeason · Payout indicator · Hartzmark and Salomon (2013)
Dividend seasonality
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
0.53%
95% interval 0.42% to 0.62%
Next year
0.54%
95% interval 0.41% to 0.65%
Next five years
0.57%
95% interval 0.36% to 0.76%
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
+2,747% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 3.45% | 2.79% | 1.24 | 12.28 |
| 2020Q1–2024Q4 | 1.33% | 1.94% | 0.69 | 1.53 |
| 2024Q1–2024Q4 | 1.51% | 0.96% | 1.57 | 1.57 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.394 | 0.318 – 0.459 | 0.00 |
| Next year | 0.397 | 0.302 – 0.481 | 0.00 |
| Next five years | 0.412 | 0.256 – 0.548 | 0.00 |