OrderBacklogChg · Accruals · Baik and Ahn (2007)

Change in order backlog

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

Expected return · posterior mean, % per quarter

Next quarter

0.41%

95% interval −0.77% to 2.04%

Next year

0.34%

95% interval −0.75% to 1.77%

Next five years

0.15%

95% interval −0.77% to 1.18%

Next quarter

2.19%

95% interval 0.35% to 3.59%

Next year

1.88%

95% interval 0.35% to 3.09%

Next five years

0.96%

95% interval 0.18% to 1.83%

Next quarter

1.74%

95% interval −0.40% to 3.41%

Next year

1.44%

95% interval −0.44% to 3.08%

Next five years

0.58%

95% interval −0.97% to 2.25%

Next quarter

2.47%

95% interval 0.58% to 5.08%

Next year

2.23%

95% interval 0.61% to 4.39%

Next five years

1.54%

95% interval 0.57% to 2.72%

Cumulative market-adjusted return

−27% since 1972Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1972Q3–2024Q4	0.28%	13.25%	0.02	0.15
2020Q1–2024Q4	12.24%	15.57%	0.79	1.76
2024Q1–2024Q4	18.76%	13.25%	1.42	1.42
1972Q3–2024Q4	2.63%	8.63%	0.31	2.21
2020Q1–2024Q4	9.69%	12.62%	0.77	1.72
2024Q1–2024Q4	28.79%	8.62%	3.34	3.34
1972Q3–2024Q4	0.77%	18.91%	0.04	0.30
2020Q1–2024Q4	20.69%	17.63%	1.17	2.62
2024Q1–2024Q4	14.86%	26.36%	0.56	0.56
1972Q3–2024Q4	5.68%	12.47%	0.46	3.30
2020Q1–2024Q4	15.72%	16.27%	0.97	2.16
2024Q1–2024Q4	50.91%	13.33%	3.82	3.82

Horizon	Mean	95% interval	P(neg)
Next quarter	0.062	−0.117 – 0.311	0.31
Next year	0.052	−0.113 – 0.268	0.32
Next five years	0.023	−0.115 – 0.178	0.39
Next quarter	0.517	0.081 – 0.858	0.00
Next year	0.440	0.081 – 0.730	0.00
Next five years	0.223	0.041 – 0.425	0.01
Next quarter	0.186	−0.042 – 0.369	0.06
Next year	0.153	−0.046 – 0.330	0.07
Next five years	0.061	−0.102 – 0.238	0.24
Next quarter	0.399	0.094 – 0.833	0.00
Next year	0.359	0.098 – 0.715	0.00
Next five years	0.246	0.091 – 0.436	0.00