NetDebtFinance · External financing · Bradshaw, Richardson, Sloan (2006)

Net debt financing

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.02%

95% interval −0.88% to 0.93%

Next year

0.11%

95% interval −0.74% to 0.92%

Next five years

0.36%

95% interval −0.36% to 0.95%

Next quarter

1.36%

95% interval 1.09% to 1.65%

Next year

1.31%

95% interval 0.99% to 1.66%

Next five years

1.15%

95% interval 0.66% to 1.68%

Next quarter

−1.79%

95% interval −3.26% to 0.55%

Next year

−1.40%

95% interval −2.75% to 0.57%

Next five years

−0.28%

95% interval −1.42% to 0.81%

Next quarter

2.02%

95% interval 1.55% to 2.46%

Next year

1.90%

95% interval 1.41% to 2.37%

Next five years

1.55%

95% interval 0.85% to 2.22%

Cumulative market-adjusted return

+262% since 1972Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1972Q3–2024Q4	2.69%	6.73%	0.40	2.89
2020Q1–2024Q4	−0.61%	9.79%	−0.06	−0.14
2024Q1–2024Q4	−12.53%	13.82%	−0.91	−0.91
1972Q3–2024Q4	6.46%	4.94%	1.31	9.48
2020Q1–2024Q4	5.55%	6.71%	0.83	1.85
2024Q1–2024Q4	8.83%	4.21%	2.10	2.10
1972Q3–2024Q4	2.10%	10.90%	0.19	1.40
2020Q1–2024Q4	−8.61%	19.13%	−0.45	−1.01
2024Q1–2024Q4	−42.42%	29.14%	−1.46	−1.46
1972Q3–2024Q4	8.29%	7.25%	1.14	8.28
2020Q1–2024Q4	6.78%	9.63%	0.70	1.57
2024Q1–2024Q4	16.72%	3.70%	4.53	4.53

Horizon	Mean	95% interval	P(neg)
Next quarter	0.005	−0.269 – 0.276	0.49
Next year	0.031	−0.222 – 0.273	0.42
Next five years	0.106	−0.107 – 0.281	0.15
Next quarter	0.560	0.445 – 0.679	0.00
Next year	0.534	0.403 – 0.677	0.00
Next five years	0.464	0.264 – 0.676	0.00
Next quarter	−0.334	−0.618 – 0.102	0.93
Next year	−0.260	−0.514 – 0.105	0.92
Next five years	−0.051	−0.261 – 0.148	0.68
Next quarter	0.566	0.429 – 0.698	0.00
Next year	0.529	0.391 – 0.662	0.00
Next five years	0.426	0.233 – 0.605	0.00