Governance · Other · Gompers, Ishii and Metrick (2003)

Governance Index

Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1990Q4 to 2006Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.97%

95% interval −1.93% to 0.10%

Next year

−0.92%

95% interval −1.94% to 0.15%

Next five years

−0.75%

95% interval −1.99% to 0.51%

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

−56% since 1990Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1990Q4–2006Q4	−4.50%	10.97%	−0.41	−1.65
2002Q1–2006Q4	−9.40%	7.23%	−1.30	−2.91
2006Q1–2006Q4	−2.01%	5.29%	−0.38	−0.38

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.179	−0.353 – 0.018	0.96
Next year	−0.168	−0.356 – 0.027	0.95
Next five years	−0.137	−0.363 – 0.092	0.88