PriceDelayTstat · Lead lag · Hou and Moskowitz (2005)

Price delay SE adjusted

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

Expected return · posterior mean, % per quarter

Next quarter

−0.28%

95% interval −1.53% to 0.50%

Next year

−0.24%

95% interval −1.31% to 0.48%

Next five years

−0.13%

95% interval −0.79% to 0.44%

Next quarter

0.18%

95% interval −0.88% to 0.89%

Next year

0.22%

95% interval −0.68% to 0.87%

Next five years

0.35%

95% interval −0.21% to 0.83%

Next quarter

−0.02%

95% interval −0.93% to 0.75%

Next year

−0.01%

95% interval −0.85% to 0.73%

Next five years

0.03%

95% interval −0.68% to 0.70%

Next quarter

0.11%

95% interval −1.07% to 0.86%

Next year

0.16%

95% interval −0.86% to 0.83%

Next five years

0.29%

95% interval −0.35% to 0.80%

Cumulative market-adjusted return

−59% since 1927Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q4–2024Q2	−0.29%	10.98%	−0.03	−0.26
2019Q3–2024Q2	−10.78%	11.28%	−0.96	−2.14
2023Q3–2024Q2	−17.48%	8.24%	−2.12	−2.12
1927Q4–2024Q2	1.85%	8.59%	0.21	2.11
2019Q3–2024Q2	−7.07%	9.17%	−0.77	−1.72
2023Q3–2024Q2	−14.86%	6.16%	−2.41	−2.41
1927Q4–2024Q2	0.24%	13.27%	0.02	0.18
2019Q3–2024Q2	−10.42%	10.73%	−0.97	−2.17
2023Q3–2024Q2	−11.08%	6.56%	−1.69	−1.69
1927Q4–2024Q2	1.59%	9.30%	0.17	1.68
2019Q3–2024Q2	−5.62%	9.87%	−0.57	−1.27
2023Q3–2024Q2	−18.36%	6.78%	−2.71	−2.71

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.052	−0.279 – 0.091	0.69
Next year	−0.045	−0.238 – 0.087	0.69
Next five years	−0.024	−0.144 – 0.080	0.65
Next quarter	0.041	−0.205 – 0.207	0.31
Next year	0.052	−0.159 – 0.201	0.26
Next five years	0.082	−0.050 – 0.193	0.09
Next quarter	−0.003	−0.141 – 0.113	0.50
Next year	−0.001	−0.128 – 0.110	0.49
Next five years	0.005	−0.102 – 0.105	0.46
Next quarter	0.024	−0.232 – 0.184	0.34
Next year	0.034	−0.187 – 0.180	0.30
Next five years	0.062	−0.075 – 0.173	0.15