RevenueSurprise · Sales growth · Jegadeesh and Livnat (2006)

Revenue Surprise

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.39%

95% interval −0.10% to 0.89%

Next year

0.38%

95% interval −0.10% to 0.88%

Next five years

0.36%

95% interval −0.13% to 0.86%

Next quarter

1.77%

95% interval 1.32% to 2.17%

Next year

1.77%

95% interval 1.31% to 2.18%

Next five years

1.77%

95% interval 1.28% to 2.20%

Next quarter

0.59%

95% interval 0.02% to 1.16%

Next year

0.58%

95% interval −0.00% to 1.17%

Next five years

0.56%

95% interval −0.10% to 1.21%

Next quarter

1.80%

95% interval 1.19% to 2.53%

Next year

1.83%

95% interval 1.18% to 2.54%

Next five years

1.92%

95% interval 1.16% to 2.54%

Cumulative market-adjusted return

+116% since 1963Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	1.56%	7.83%	0.20	1.56
2020Q1–2024Q4	3.40%	12.41%	0.27	0.61
2024Q1–2024Q4	17.20%	15.82%	1.09	1.09
1963Q3–2024Q4	7.91%	6.61%	1.20	9.38
2020Q1–2024Q4	5.27%	9.30%	0.57	1.27
2024Q1–2024Q4	7.77%	3.66%	2.12	2.12
1963Q3–2024Q4	2.50%	9.78%	0.26	2.01
2020Q1–2024Q4	0.30%	14.73%	0.02	0.05
2024Q1–2024Q4	16.45%	18.96%	0.87	0.87
1963Q3–2024Q4	9.50%	8.09%	1.17	9.21
2020Q1–2024Q4	0.15%	12.49%	0.01	0.03
2024Q1–2024Q4	8.46%	1.83%	4.63	4.63

Horizon	Mean	95% interval	P(neg)
Next quarter	0.100	−0.026 – 0.227	0.06
Next year	0.098	−0.026 – 0.224	0.06
Next five years	0.092	−0.033 – 0.219	0.07
Next quarter	0.534	0.398 – 0.656	0.00
Next year	0.534	0.395 – 0.656	0.00
Next five years	0.534	0.385 – 0.662	0.00
Next quarter	0.122	0.004 – 0.237	0.02
Next year	0.120	−0.000 – 0.240	0.03
Next five years	0.115	−0.021 – 0.248	0.05
Next quarter	0.447	0.296 – 0.625	0.00
Next year	0.454	0.292 – 0.624	0.00
Next five years	0.474	0.284 – 0.631	0.00