RD · R&D · Chan, Lakonishok and Sougiannis (2001)

R&D over market cap

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−2.35%

95% interval −4.67% to 0.53%

Next year

−1.88%

95% interval −3.94% to 0.55%

Next five years

−0.54%

95% interval −2.11% to 0.85%

Next quarter

−1.88%

95% interval −3.10% to −0.04%

Next year

−1.33%

95% interval −2.63% to 0.34%

Next five years

0.27%

95% interval −1.34% to 1.81%

Next quarter

−0.65%

95% interval −3.05% to 1.61%

Next year

−0.43%

95% interval −2.65% to 1.61%

Next five years

0.22%

95% interval −1.69% to 1.86%

Next quarter

−2.91%

95% interval −4.70% to −0.15%

Next year

−2.14%

95% interval −3.96% to 0.29%

Next five years

0.09%

95% interval −1.96% to 2.06%

Cumulative market-adjusted return

−25% since 1951Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	1.02%	17.00%	0.06	0.51
2020Q1–2024Q4	−13.49%	21.31%	−0.63	−1.41
2024Q1–2024Q4	−50.94%	19.90%	−2.56	−2.56
1951Q3–2024Q4	6.52%	18.21%	0.36	3.07
2020Q1–2024Q4	−13.69%	24.06%	−0.57	−1.27
2024Q1–2024Q4	−18.85%	31.50%	−0.60	−0.60
1951Q3–2024Q4	2.78%	24.12%	0.12	0.99
2020Q1–2024Q4	−3.91%	29.73%	−0.13	−0.29
2024Q1–2024Q4	−22.15%	28.91%	−0.77	−0.77
1951Q3–2024Q4	7.54%	22.86%	0.33	2.83
2020Q1–2024Q4	−15.83%	29.92%	−0.53	−1.18
2024Q1–2024Q4	−35.08%	35.76%	−0.98	−0.98

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.280	−0.564 – 0.063	0.93
Next year	−0.224	−0.471 – 0.064	0.92
Next five years	−0.064	−0.248 – 0.099	0.75
Next quarter	−0.211	−0.350 – −0.004	0.98
Next year	−0.148	−0.294 – 0.038	0.95
Next five years	0.029	−0.147 – 0.199	0.37
Next quarter	−0.055	−0.258 – 0.133	0.67
Next year	−0.036	−0.222 – 0.134	0.62
Next five years	0.018	−0.140 – 0.155	0.38
Next quarter	−0.260	−0.425 – −0.013	0.98
Next year	−0.190	−0.353 – 0.025	0.96
Next five years	0.008	−0.171 – 0.180	0.46