IndRetBig · Lead lag · Hou (2007)

Industry return of big firms

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.64%

95% interval −0.11% to 1.48%

Next year

1.05%

95% interval 0.13% to 2.00%

Next five years

2.23%

95% interval 0.83% to 3.60%

Next quarter

1.80%

95% interval 1.18% to 2.45%

Next year

2.00%

95% interval 1.23% to 2.78%

Next five years

2.57%

95% interval 1.37% to 3.73%

Next quarter

1.78%

95% interval 0.87% to 2.78%

Next year

2.10%

95% interval 0.99% to 3.27%

Next five years

3.03%

95% interval 1.33% to 4.74%

Next quarter

1.97%

95% interval 1.18% to 2.82%

Next year

2.26%

95% interval 1.28% to 3.22%

Next five years

3.09%

95% interval 1.58% to 4.52%

Cumulative market-adjusted return

+151,225,441% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	16.10%	17.39%	0.93	9.19
2020Q1–2024Q4	−0.77%	10.16%	−0.08	−0.17
2024Q1–2024Q4	−10.59%	3.27%	−3.23	−3.23
1926Q3–2024Q4	16.09%	15.32%	1.05	10.42
2020Q1–2024Q4	1.66%	10.37%	0.16	0.36
2024Q1–2024Q4	0.04%	7.84%	0.00	0.00
1926Q3–2024Q4	19.26%	21.34%	0.90	8.96
2020Q1–2024Q4	−2.13%	16.17%	−0.13	−0.30
2024Q1–2024Q4	−8.24%	5.41%	−1.52	−1.52
1926Q3–2024Q4	18.99%	18.95%	1.00	9.95
2020Q1–2024Q4	−6.13%	19.93%	−0.31	−0.69
2024Q1–2024Q4	−1.08%	6.59%	−0.16	−0.16

Horizon	Mean	95% interval	P(neg)
Next quarter	0.076	−0.013 – 0.174	0.05
Next year	0.123	0.015 – 0.235	0.01
Next five years	0.257	0.096 – 0.417	0.00
Next quarter	0.242	0.160 – 0.327	0.00
Next year	0.266	0.163 – 0.369	0.00
Next five years	0.337	0.177 – 0.491	0.00
Next quarter	0.172	0.084 – 0.267	0.00
Next year	0.201	0.094 – 0.312	0.00
Next five years	0.285	0.124 – 0.448	0.00
Next quarter	0.214	0.128 – 0.302	0.00
Next year	0.243	0.138 – 0.345	0.00
Next five years	0.327	0.167 – 0.475	0.00