RDIPO · R&D · Gou, Lev and Shi (2006)
IPO and no R&D spending
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1977Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.98%
95% interval 0.89% to 3.02%
Next year
1.93%
95% interval 0.86% to 2.99%
Next five years
1.78%
95% interval 0.59% to 2.94%
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+2,678% since 1977Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1977Q1–2024Q4 | 8.29% | 15.63% | 0.53 | 3.65 |
| 2020Q1–2024Q4 | 17.86% | 13.22% | 1.35 | 3.02 |
| 2024Q1–2024Q4 | 9.33% | 22.29% | 0.42 | 0.42 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.254 | 0.113 – 0.389 | 0.00 |
| Next year | 0.247 | 0.109 – 0.383 | 0.00 |
| Next five years | 0.228 | 0.074 – 0.375 | 0.00 |