PctAcc · Accruals · Hafzalla, Lundholm, Van Winkle (2011)

Percent Operating Accruals

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1964Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.37%

95% interval −0.16% to 0.90%

Next year

0.37%

95% interval −0.18% to 0.91%

Next five years

0.36%

95% interval −0.24% to 0.94%

Next quarter

0.69%

95% interval 0.32% to 1.13%

Next year

0.70%

95% interval 0.26% to 1.16%

Next five years

0.71%

95% interval 0.08% to 1.30%

Next quarter

0.70%

95% interval −0.08% to 1.48%

Next year

0.70%

95% interval −0.08% to 1.48%

Next five years

0.71%

95% interval −0.10% to 1.50%

Next quarter

0.85%

95% interval 0.41% to 1.36%

Next year

0.87%

95% interval 0.34% to 1.42%

Next five years

0.92%

95% interval 0.16% to 1.64%

Cumulative market-adjusted return

+117% since 1964Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1964Q3–2024Q4	1.68%	8.98%	0.19	1.46
2020Q1–2024Q4	2.71%	6.85%	0.40	0.88
2024Q1–2024Q4	−0.39%	3.82%	−0.10	−0.10
1964Q3–2024Q4	4.23%	6.74%	0.63	4.88
2020Q1–2024Q4	4.68%	6.70%	0.70	1.56
2024Q1–2024Q4	0.76%	2.49%	0.31	0.31
1964Q3–2024Q4	3.18%	12.80%	0.25	1.93
2020Q1–2024Q4	3.53%	9.15%	0.39	0.86
2024Q1–2024Q4	−3.57%	6.65%	−0.54	−0.54
1964Q3–2024Q4	5.33%	8.19%	0.65	5.06
2020Q1–2024Q4	5.19%	8.18%	0.63	1.42
2024Q1–2024Q4	1.71%	4.44%	0.39	0.39

Horizon	Mean	95% interval	P(neg)
Next quarter	0.082	−0.035 – 0.200	0.09
Next year	0.081	−0.040 – 0.202	0.09
Next five years	0.080	−0.053 – 0.209	0.11
Next quarter	0.209	0.098 – 0.336	0.00
Next year	0.209	0.078 – 0.346	0.00
Next five years	0.210	0.023 – 0.384	0.01
Next quarter	0.109	−0.012 – 0.231	0.04
Next year	0.110	−0.013 – 0.231	0.04
Next five years	0.111	−0.015 – 0.233	0.04
Next quarter	0.212	0.101 – 0.336	0.00
Next year	0.215	0.085 – 0.350	0.00
Next five years	0.224	0.039 – 0.401	0.01