VolMkt · Volume · Haugen and Baker (1996)

Volume to market equity

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.05%

95% interval 0.33% to 1.75%

Next year

1.05%

95% interval 0.33% to 1.75%

Next five years

1.06%

95% interval 0.30% to 1.78%

Next quarter

2.02%

95% interval 1.35% to 2.68%

Next year

2.01%

95% interval 1.33% to 2.69%

Next five years

1.96%

95% interval 1.18% to 2.70%

Next quarter

1.02%

95% interval 0.19% to 1.89%

Next year

1.03%

95% interval 0.13% to 1.93%

Next five years

1.07%

95% interval −0.04% to 2.09%

Next quarter

2.64%

95% interval 1.87% to 3.39%

Next year

2.57%

95% interval 1.77% to 3.37%

Next five years

2.34%

95% interval 1.25% to 3.32%

Cumulative market-adjusted return

+3,277% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	4.61%	14.36%	0.32	3.19
2020Q1–2024Q4	0.44%	16.64%	0.03	0.06
2024Q1–2024Q4	10.35%	15.82%	0.65	0.65
1926Q3–2024Q4	8.50%	13.94%	0.61	6.05
2020Q1–2024Q4	9.18%	10.56%	0.87	1.94
2024Q1–2024Q4	14.74%	7.16%	2.06	2.06
1926Q3–2024Q4	5.18%	17.19%	0.30	2.99
2020Q1–2024Q4	0.06%	18.99%	0.00	0.01
2024Q1–2024Q4	4.89%	17.99%	0.27	0.27
1926Q3–2024Q4	10.49%	16.18%	0.65	6.43
2020Q1–2024Q4	12.58%	13.08%	0.96	2.15
2024Q1–2024Q4	18.38%	6.03%	3.05	3.05

Horizon	Mean	95% interval	P(neg)
Next quarter	0.146	0.047 – 0.244	0.00
Next year	0.146	0.045 – 0.244	0.00
Next five years	0.148	0.042 – 0.248	0.00
Next quarter	0.291	0.194 – 0.386	0.00
Next year	0.288	0.190 – 0.386	0.00
Next five years	0.281	0.169 – 0.388	0.00
Next quarter	0.119	0.022 – 0.220	0.01
Next year	0.120	0.015 – 0.224	0.01
Next five years	0.124	−0.005 – 0.242	0.03
Next quarter	0.329	0.231 – 0.423	0.00
Next year	0.318	0.219 – 0.418	0.00
Next five years	0.289	0.154 – 0.410	0.00