ShareRepurchase · Payout indicator · Ikenberry, Lakonishok, Vermaelen (1995)
Share repurchases
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1972Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.35%
95% interval 0.59% to 2.07%
Next year
1.25%
95% interval 0.59% to 1.90%
Next five years
0.97%
95% interval 0.48% to 1.49%
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
+661% since 1972Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1972Q3–2024Q4 | 4.09% | 6.44% | 0.63 | 4.60 |
| 2020Q1–2024Q4 | 9.25% | 12.19% | 0.76 | 1.70 |
| 2024Q1–2024Q4 | 6.66% | 7.66% | 0.87 | 0.87 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.422 | 0.181 – 0.654 | 0.00 |
| Next year | 0.391 | 0.183 – 0.595 | 0.00 |
| Next five years | 0.302 | 0.148 – 0.463 | 0.00 |