EarningsStreak · Earnings growth · Loh and Warachka (2012)

Earnings surprise streak

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1985Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.21%

95% interval −0.00% to 2.34%

Next year

1.28%

95% interval 0.11% to 2.35%

Next five years

1.48%

95% interval 0.37% to 2.38%

Next quarter

2.19%

95% interval 1.79% to 2.62%

Next year

2.10%

95% interval 1.61% to 2.62%

Next five years

1.84%

95% interval 1.06% to 2.61%

Next quarter

1.42%

95% interval 0.16% to 2.78%

Next year

1.49%

95% interval 0.21% to 2.79%

Next five years

1.69%

95% interval 0.29% to 2.90%

Next quarter

2.69%

95% interval 2.12% to 3.27%

Next year

2.61%

95% interval 1.93% to 3.31%

Next five years

2.40%

95% interval 1.35% to 3.41%

Cumulative market-adjusted return

+2,297% since 1985Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1985Q1–2024Q4	8.43%	9.24%	0.91	5.77
2020Q1–2024Q4	3.77%	10.77%	0.35	0.78
2024Q1–2024Q4	−2.78%	9.03%	−0.31	−0.31
1985Q1–2024Q4	11.31%	7.34%	1.54	9.75
2020Q1–2024Q4	12.43%	10.05%	1.24	2.77
2024Q1–2024Q4	10.12%	7.62%	1.33	1.33
1985Q1–2024Q4	10.13%	12.36%	0.82	5.18
2020Q1–2024Q4	11.78%	13.78%	0.85	1.91
2024Q1–2024Q4	−1.83%	10.46%	−0.18	−0.18
1985Q1–2024Q4	14.32%	9.28%	1.54	9.76
2020Q1–2024Q4	13.31%	12.22%	1.09	2.44
2024Q1–2024Q4	12.08%	11.90%	1.01	1.01

Horizon	Mean	95% interval	P(neg)
Next quarter	0.262	−0.001 – 0.507	0.03
Next year	0.277	0.023 – 0.506	0.01
Next five years	0.320	0.079 – 0.515	0.00
Next quarter	0.611	0.496 – 0.718	0.00
Next year	0.582	0.445 – 0.712	0.00
Next five years	0.504	0.287 – 0.704	0.00
Next quarter	0.230	0.027 – 0.450	0.01
Next year	0.241	0.035 – 0.451	0.01
Next five years	0.274	0.046 – 0.468	0.01
Next quarter	0.588	0.465 – 0.723	0.00
Next year	0.569	0.421 – 0.725	0.00
Next five years	0.518	0.290 – 0.735	0.00