PredictedFE · Earnings forecast · Frankel and Lee (1998)

Predicted Analyst forecast error

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1983Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.09%

95% interval −1.19% to 1.41%

Next year

0.13%

95% interval −1.17% to 1.42%

Next five years

0.21%

95% interval −1.14% to 1.52%

Next quarter

1.12%

95% interval 0.19% to 2.04%

Next year

1.10%

95% interval 0.16% to 2.06%

Next five years

1.06%

95% interval 0.00% to 2.11%

Next quarter

0.49%

95% interval −1.04% to 2.03%

Next year

0.49%

95% interval −1.07% to 2.06%

Next five years

0.50%

95% interval −1.19% to 2.18%

Next quarter

1.31%

95% interval 0.11% to 2.50%

Next year

1.30%

95% interval 0.05% to 2.54%

Next five years

1.27%

95% interval −0.15% to 2.65%

Cumulative market-adjusted return

−11% since 1983Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1983Q3–2024Q4	1.19%	17.24%	0.07	0.44
2020Q1–2024Q4	−8.44%	28.77%	−0.29	−0.66
2024Q1–2024Q4	−4.45%	10.62%	−0.42	−0.42
1983Q3–2024Q4	4.95%	13.49%	0.37	2.36
2020Q1–2024Q4	4.52%	19.82%	0.23	0.51
2024Q1–2024Q4	11.98%	8.60%	1.39	1.39
1983Q3–2024Q4	2.36%	21.99%	0.11	0.69
2020Q1–2024Q4	−5.65%	38.46%	−0.15	−0.33
2024Q1–2024Q4	9.47%	11.60%	0.82	0.82
1983Q3–2024Q4	6.04%	17.51%	0.34	2.22
2020Q1–2024Q4	5.88%	26.83%	0.22	0.49
2024Q1–2024Q4	11.68%	9.18%	1.27	1.27

Horizon	Mean	95% interval	P(neg)
Next quarter	0.011	−0.139 – 0.164	0.45
Next year	0.015	−0.136 – 0.165	0.43
Next five years	0.025	−0.132 – 0.176	0.37
Next quarter	0.166	0.028 – 0.303	0.01
Next year	0.164	0.024 – 0.306	0.01
Next five years	0.157	0.001 – 0.312	0.02
Next quarter	0.044	−0.095 – 0.185	0.27
Next year	0.045	−0.097 – 0.187	0.27
Next five years	0.046	−0.108 – 0.198	0.28
Next quarter	0.149	0.012 – 0.286	0.02
Next year	0.148	0.006 – 0.289	0.02
Next five years	0.145	−0.018 – 0.302	0.04