EquityDuration · Valuation · Dechow, Sloan and Soliman (2004)

Equity Duration

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.54%

95% interval 0.55% to 2.61%

Next year

1.56%

95% interval 0.49% to 2.63%

Next five years

1.62%

95% interval 0.31% to 2.76%

Next quarter

1.55%

95% interval 0.56% to 2.60%

Next year

1.57%

95% interval 0.50% to 2.62%

Next five years

1.63%

95% interval 0.33% to 2.77%

Next quarter

2.86%

95% interval 1.86% to 3.85%

Next year

2.81%

95% interval 1.79% to 3.84%

Next five years

2.65%

95% interval 1.38% to 3.82%

Next quarter

2.86%

95% interval 1.86% to 3.84%

Next year

2.81%

95% interval 1.79% to 3.83%

Next five years

2.66%

95% interval 1.39% to 3.81%

Cumulative market-adjusted return

+6,718% since 1963Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	8.15%	15.94%	0.51	4.01
2020Q1–2024Q4	2.28%	18.97%	0.12	0.27
2024Q1–2024Q4	3.60%	11.25%	0.32	0.32
1963Q3–2024Q4	8.15%	15.94%	0.51	4.01
2020Q1–2024Q4	2.28%	18.97%	0.12	0.27
2024Q1–2024Q4	3.60%	11.25%	0.32	0.32
1963Q3–2024Q4	12.19%	16.98%	0.72	5.63
2020Q1–2024Q4	13.79%	19.47%	0.71	1.58
2024Q1–2024Q4	20.67%	25.50%	0.81	0.81
1963Q3–2024Q4	12.19%	16.98%	0.72	5.63
2020Q1–2024Q4	13.79%	19.47%	0.71	1.58
2024Q1–2024Q4	20.67%	25.50%	0.81	0.81

Horizon	Mean	95% interval	P(neg)
Next quarter	0.194	0.069 – 0.327	0.00
Next year	0.196	0.061 – 0.330	0.00
Next five years	0.203	0.039 – 0.346	0.01
Next quarter	0.195	0.070 – 0.326	0.00
Next year	0.197	0.063 – 0.329	0.00
Next five years	0.205	0.042 – 0.347	0.01
Next quarter	0.338	0.218 – 0.453	0.00
Next year	0.331	0.210 – 0.452	0.00
Next five years	0.312	0.162 – 0.449	0.00
Next quarter	0.338	0.218 – 0.454	0.00
Next year	0.332	0.211 – 0.452	0.00
Next five years	0.313	0.163 – 0.449	0.00