PayoutYield · Valuation · Boudoukh et al. (2007)

Payout Yield

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

Expected return · posterior mean, % per quarter

Next quarter

1.13%

95% interval 0.40% to 1.87%

Next year

1.12%

95% interval 0.35% to 1.89%

Next five years

1.09%

95% interval 0.20% to 1.95%

Next quarter

1.00%

95% interval 0.52% to 1.45%

Next year

0.97%

95% interval 0.51% to 1.43%

Next five years

0.89%

95% interval 0.37% to 1.39%

Next quarter

1.53%

95% interval 0.57% to 2.46%

Next year

1.47%

95% interval 0.56% to 2.41%

Next five years

1.30%

95% interval 0.33% to 2.28%

Next quarter

1.18%

95% interval 0.58% to 1.77%

Next year

1.15%

95% interval 0.53% to 1.77%

Next five years

1.07%

95% interval 0.29% to 1.80%

Cumulative market-adjusted return

+1,691% since 1953Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1953Q3–2024Q4	4.93%	13.45%	0.37	3.10
2020Q1–2024Q4	9.47%	18.35%	0.52	1.15
2024Q1–2024Q4	8.54%	14.02%	0.61	0.61
1953Q3–2024Q4	3.95%	7.73%	0.51	4.32
2020Q1–2024Q4	10.10%	11.63%	0.87	1.94
2024Q1–2024Q4	−0.70%	7.43%	−0.09	−0.09
1953Q3–2024Q4	5.57%	15.10%	0.37	3.12
2020Q1–2024Q4	11.99%	20.16%	0.59	1.33
2024Q1–2024Q4	18.66%	12.22%	1.53	1.53
1953Q3–2024Q4	4.89%	10.94%	0.45	3.78
2020Q1–2024Q4	14.19%	18.44%	0.77	1.72
2024Q1–2024Q4	0.17%	10.66%	0.02	0.02

Horizon	Mean	95% interval	P(neg)
Next quarter	0.169	0.059 – 0.279	0.00
Next year	0.167	0.053 – 0.281	0.00
Next five years	0.163	0.029 – 0.290	0.01
Next quarter	0.259	0.136 – 0.376	0.00
Next year	0.251	0.133 – 0.371	0.00
Next five years	0.231	0.096 – 0.360	0.00
Next quarter	0.204	0.075 – 0.329	0.00
Next year	0.196	0.074 – 0.320	0.00
Next five years	0.172	0.043 – 0.302	0.01
Next quarter	0.216	0.106 – 0.325	0.00
Next year	0.211	0.096 – 0.325	0.00
Next five years	0.196	0.053 – 0.328	0.01