REV6 · Earnings forecast · Chan, Jegadeesh and Lakonishok (1996)

Earnings forecast revisions

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1976Q4 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.37%

95% interval 0.38% to 2.31%

Next year

1.33%

95% interval 0.36% to 2.30%

Next five years

1.21%

95% interval 0.14% to 2.26%

Next quarter

2.11%

95% interval 1.40% to 2.87%

Next year

2.11%

95% interval 1.33% to 2.89%

Next five years

2.10%

95% interval 1.15% to 2.92%

Next quarter

1.42%

95% interval 0.28% to 2.57%

Next year

1.42%

95% interval 0.25% to 2.59%

Next five years

1.42%

95% interval 0.13% to 2.65%

Next quarter

2.78%

95% interval 1.79% to 3.78%

Next year

2.79%

95% interval 1.73% to 3.77%

Next five years

2.81%

95% interval 1.60% to 3.82%

Cumulative market-adjusted return

+793% since 1976Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1976Q4–2024Q4	5.50%	13.95%	0.39	2.74
2020Q1–2024Q4	23.14%	23.25%	1.00	2.23
2024Q1–2024Q4	0.04%	28.39%	0.00	0.00
1976Q4–2024Q4	10.45%	9.98%	1.05	7.28
2020Q1–2024Q4	11.00%	14.53%	0.76	1.69
2024Q1–2024Q4	8.03%	17.97%	0.45	0.45
1976Q4–2024Q4	6.65%	17.50%	0.38	2.64
2020Q1–2024Q4	12.32%	29.08%	0.42	0.95
2024Q1–2024Q4	−3.81%	34.14%	−0.11	−0.11
1976Q4–2024Q4	13.74%	12.54%	1.10	7.61
2020Q1–2024Q4	11.60%	18.78%	0.62	1.38
2024Q1–2024Q4	8.56%	26.77%	0.32	0.32

Horizon	Mean	95% interval	P(neg)
Next quarter	0.197	0.055 – 0.333	0.00
Next year	0.191	0.052 – 0.330	0.00
Next five years	0.173	0.020 – 0.324	0.01
Next quarter	0.423	0.280 – 0.578	0.00
Next year	0.422	0.267 – 0.580	0.00
Next five years	0.420	0.228 – 0.586	0.00
Next quarter	0.163	0.032 – 0.294	0.01
Next year	0.162	0.028 – 0.296	0.01
Next five years	0.162	0.014 – 0.303	0.02
Next quarter	0.443	0.286 – 0.596	0.00
Next year	0.444	0.277 – 0.601	0.00
Next five years	0.448	0.253 – 0.611	0.00