PriceDelaySlope · Lead lag · Hou and Moskowitz (2005)

Price delay coeff

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

Expected return · posterior mean, % per quarter

Next quarter

−0.30%

95% interval −1.53% to 0.48%

Next year

−0.26%

95% interval −1.32% to 0.45%

Next five years

−0.15%

95% interval −0.81% to 0.42%

Next quarter

0.17%

95% interval −0.92% to 0.90%

Next year

0.22%

95% interval −0.71% to 0.88%

Next five years

0.37%

95% interval −0.21% to 0.84%

Next quarter

−0.04%

95% interval −0.95% to 0.72%

Next year

−0.02%

95% interval −0.86% to 0.70%

Next five years

0.02%

95% interval −0.70% to 0.68%

Next quarter

0.18%

95% interval −0.96% to 0.92%

Next year

0.22%

95% interval −0.75% to 0.89%

Next five years

0.35%

95% interval −0.27% to 0.86%

Cumulative market-adjusted return

−64% since 1927Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q4–2024Q2	−0.41%	10.98%	−0.04	−0.37
2019Q3–2024Q2	−10.94%	11.17%	−0.98	−2.19
2023Q3–2024Q2	−17.57%	8.28%	−2.12	−2.12
1927Q4–2024Q2	1.95%	8.58%	0.23	2.24
2019Q3–2024Q2	−7.23%	9.24%	−0.78	−1.75
2023Q3–2024Q2	−15.20%	6.45%	−2.36	−2.36
1927Q4–2024Q2	0.18%	13.30%	0.01	0.13
2019Q3–2024Q2	−10.35%	10.40%	−1.00	−2.23
2023Q3–2024Q2	−11.08%	6.56%	−1.69	−1.69
1927Q4–2024Q2	1.82%	9.51%	0.19	1.88
2019Q3–2024Q2	−6.05%	10.09%	−0.60	−1.34
2023Q3–2024Q2	−19.17%	7.15%	−2.68	−2.68

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.054	−0.279 – 0.088	0.70
Next year	−0.048	−0.240 – 0.083	0.70
Next five years	−0.028	−0.148 – 0.076	0.68
Next quarter	0.040	−0.215 – 0.210	0.31
Next year	0.052	−0.166 – 0.204	0.26
Next five years	0.086	−0.049 – 0.196	0.09
Next quarter	−0.006	−0.143 – 0.109	0.52
Next year	−0.004	−0.130 – 0.106	0.51
Next five years	0.002	−0.105 – 0.103	0.48
Next quarter	0.037	−0.202 – 0.193	0.30
Next year	0.047	−0.159 – 0.188	0.26
Next five years	0.073	−0.057 – 0.182	0.11