EarningsForecastDisparity · Earnings forecast · Da and Warachka (2011)

Long-vs-short EPS forecasts

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1982Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.85%

95% interval −0.19% to 1.90%

Next year

0.85%

95% interval −0.20% to 1.91%

Next five years

0.85%

95% interval −0.26% to 1.94%

Next quarter

1.02%

95% interval 0.26% to 1.89%

Next year

1.04%

95% interval 0.21% to 1.91%

Next five years

1.10%

95% interval 0.08% to 2.02%

Next quarter

2.42%

95% interval 0.78% to 4.16%

Next year

2.37%

95% interval 0.80% to 3.99%

Next five years

2.20%

95% interval 0.69% to 3.72%

Next quarter

2.18%

95% interval 1.19% to 3.19%

Next year

2.16%

95% interval 1.12% to 3.20%

Next five years

2.13%

95% interval 0.86% to 3.25%

Cumulative market-adjusted return

+235% since 1982Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1982Q1–2024Q4	3.97%	15.13%	0.26	1.72
2020Q1–2024Q4	3.12%	16.96%	0.18	0.41
2024Q1–2024Q4	7.35%	21.96%	0.33	0.33
1982Q1–2024Q4	6.05%	10.92%	0.55	3.63
2020Q1–2024Q4	−2.89%	11.78%	−0.25	−0.55
2024Q1–2024Q4	10.53%	8.12%	1.30	1.30
1982Q1–2024Q4	10.01%	20.41%	0.49	3.22
2020Q1–2024Q4	22.75%	26.18%	0.87	1.94
2024Q1–2024Q4	38.76%	23.92%	1.62	1.62
1982Q1–2024Q4	10.39%	14.49%	0.72	4.70
2020Q1–2024Q4	5.75%	15.02%	0.38	0.86
2024Q1–2024Q4	21.01%	15.61%	1.35	1.35

Horizon	Mean	95% interval	P(neg)
Next quarter	0.113	−0.025 – 0.252	0.06
Next year	0.113	−0.027 – 0.253	0.06
Next five years	0.112	−0.034 – 0.257	0.07
Next quarter	0.188	0.048 – 0.347	0.00
Next year	0.191	0.039 – 0.350	0.01
Next five years	0.202	0.015 – 0.370	0.02
Next quarter	0.238	0.077 – 0.410	0.00
Next year	0.232	0.078 – 0.393	0.00
Next five years	0.216	0.068 – 0.365	0.00
Next quarter	0.301	0.164 – 0.441	0.00
Next year	0.299	0.155 – 0.444	0.00
Next five years	0.293	0.118 – 0.449	0.00