PriceDelayRsq · Lead lag · Hou and Moskowitz (2005)

Price delay r square

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q4 to 2024Q2.

Expected return · posterior mean, % per quarter

Next quarter

−1.19%

95% interval −2.79% to 0.12%

Next year

−1.04%

95% interval −2.41% to 0.10%

Next five years

−0.61%

95% interval −1.48% to 0.12%

Next quarter

−0.00%

95% interval −1.82% to 1.60%

Next year

0.18%

95% interval −1.42% to 1.58%

Next five years

0.71%

95% interval −0.42% to 1.63%

Next quarter

−1.46%

95% interval −2.87% to 0.03%

Next year

−1.26%

95% interval −2.52% to 0.02%

Next five years

−0.68%

95% interval −1.65% to 0.15%

Next quarter

0.31%

95% interval −1.69% to 2.07%

Next year

0.50%

95% interval −1.27% to 2.05%

Next five years

1.05%

95% interval −0.21% to 2.09%

Cumulative market-adjusted return

−90% since 1927Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q4–2024Q2	−1.63%	12.06%	−0.14	−1.33
2019Q3–2024Q2	−14.28%	10.72%	−1.33	−2.98
2023Q3–2024Q2	−22.17%	9.81%	−2.26	−2.26
1927Q4–2024Q2	4.49%	14.80%	0.30	2.98
2019Q3–2024Q2	−6.49%	15.14%	−0.43	−0.96
2023Q3–2024Q2	−24.22%	5.01%	−4.83	−4.83
1927Q4–2024Q2	−1.61%	13.09%	−0.12	−1.21
2019Q3–2024Q2	−15.04%	9.82%	−1.53	−3.42
2023Q3–2024Q2	−21.88%	0.85%	−25.62	−25.62
1927Q4–2024Q2	6.15%	16.38%	0.38	3.69
2019Q3–2024Q2	−5.70%	16.42%	−0.35	−0.78
2023Q3–2024Q2	−24.20%	5.71%	−4.23	−4.23

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.198	−0.468 – 0.020	0.95
Next year	−0.173	−0.403 – 0.016	0.96
Next five years	−0.101	−0.246 – 0.020	0.95
Next quarter	−0.001	−0.249 – 0.216	0.49
Next year	0.024	−0.193 – 0.213	0.41
Next five years	0.096	−0.057 – 0.221	0.10
Next quarter	−0.225	−0.446 – 0.005	0.97
Next year	−0.193	−0.387 – 0.003	0.97
Next five years	−0.104	−0.252 – 0.023	0.94
Next quarter	0.038	−0.209 – 0.252	0.38
Next year	0.061	−0.155 – 0.250	0.30
Next five years	0.129	−0.025 – 0.255	0.05