NetPayoutYield · Valuation · Boudoukh et al. (2007)

Net Payout Yield

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1953Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

2.31%

95% interval 1.19% to 3.25%

Next year

2.18%

95% interval 1.18% to 3.10%

Next five years

1.78%

95% interval 0.85% to 2.71%

Next quarter

3.86%

95% interval 2.08% to 5.13%

Next year

3.57%

95% interval 2.09% to 4.77%

Next five years

2.73%

95% interval 1.66% to 3.85%

Next quarter

1.57%

95% interval 0.30% to 2.60%

Next year

1.57%

95% interval 0.34% to 2.61%

Next five years

1.57%

95% interval 0.30% to 2.69%

Next quarter

5.20%

95% interval 2.94% to 6.69%

Next year

4.75%

95% interval 2.91% to 6.14%

Next five years

3.47%

95% interval 2.25% to 4.73%

Cumulative market-adjusted return

+11,120% since 1953Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1953Q3–2024Q4	7.50%	13.22%	0.57	4.80
2020Q1–2024Q4	19.61%	17.85%	1.10	2.46
2024Q1–2024Q4	11.47%	16.13%	0.71	0.71
1953Q3–2024Q4	11.22%	14.74%	0.76	6.44
2020Q1–2024Q4	28.01%	25.28%	1.11	2.48
2024Q1–2024Q4	14.08%	14.50%	0.97	0.97
1953Q3–2024Q4	7.52%	16.67%	0.45	3.81
2020Q1–2024Q4	16.56%	27.87%	0.59	1.33
2024Q1–2024Q4	−27.12%	35.32%	−0.77	−0.77
1953Q3–2024Q4	13.91%	16.43%	0.85	7.16
2020Q1–2024Q4	34.74%	28.65%	1.21	2.71
2024Q1–2024Q4	29.12%	18.14%	1.61	1.61

Horizon	Mean	95% interval	P(neg)
Next quarter	0.352	0.179 – 0.498	0.00
Next year	0.330	0.179 – 0.472	0.00
Next five years	0.269	0.129 – 0.410	0.00
Next quarter	0.527	0.281 – 0.708	0.00
Next year	0.486	0.283 – 0.653	0.00
Next five years	0.369	0.223 – 0.519	0.00
Next quarter	0.189	0.036 – 0.312	0.01
Next year	0.189	0.041 – 0.314	0.01
Next five years	0.189	0.036 – 0.323	0.01
Next quarter	0.638	0.357 – 0.832	0.00
Next year	0.581	0.353 – 0.756	0.00
Next five years	0.421	0.272 – 0.574	0.00