GrAdExp · Investment alt · Lou (2014)

Growth in advertising expenses

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1965Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.85%

95% interval −0.25% to 1.97%

Next year

0.82%

95% interval −0.25% to 1.93%

Next five years

0.74%

95% interval −0.36% to 1.85%

Next quarter

0.90%

95% interval 0.10% to 1.67%

Next year

0.85%

95% interval 0.05% to 1.66%

Next five years

0.71%

95% interval −0.28% to 1.65%

Next quarter

0.98%

95% interval −0.17% to 2.11%

Next year

0.95%

95% interval −0.22% to 2.12%

Next five years

0.85%

95% interval −0.50% to 2.17%

Next quarter

1.18%

95% interval 0.27% to 2.01%

Next year

1.06%

95% interval 0.14% to 1.97%

Next five years

0.70%

95% interval −0.52% to 1.89%

Cumulative market-adjusted return

+188% since 1965Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1965Q3–2024Q4	3.23%	17.04%	0.19	1.46
2020Q1–2024Q4	8.00%	15.52%	0.52	1.15
2024Q1–2024Q4	23.74%	8.08%	2.94	2.94
1965Q3–2024Q4	3.44%	12.82%	0.27	2.07
2020Q1–2024Q4	2.58%	8.59%	0.30	0.67
2024Q1–2024Q4	13.72%	3.87%	3.55	3.55
1965Q3–2024Q4	3.96%	19.13%	0.21	1.60
2020Q1–2024Q4	5.43%	14.36%	0.38	0.85
2024Q1–2024Q4	16.80%	11.31%	1.48	1.48
1965Q3–2024Q4	3.68%	14.37%	0.26	1.98
2020Q1–2024Q4	2.68%	11.36%	0.24	0.53
2024Q1–2024Q4	15.90%	8.33%	1.91	1.91

Horizon	Mean	95% interval	P(neg)
Next quarter	0.099	−0.029 – 0.233	0.07
Next year	0.096	−0.030 – 0.227	0.07
Next five years	0.087	−0.043 – 0.218	0.09
Next quarter	0.141	0.016 – 0.264	0.01
Next year	0.133	0.008 – 0.260	0.02
Next five years	0.111	−0.043 – 0.257	0.07
Next quarter	0.103	−0.018 – 0.221	0.05
Next year	0.100	−0.023 – 0.223	0.06
Next five years	0.089	−0.052 – 0.227	0.10
Next quarter	0.167	0.037 – 0.287	0.01
Next year	0.149	0.020 – 0.277	0.01
Next five years	0.098	−0.072 – 0.263	0.12