dNoa · Investment · Hirshleifer, Hou, Teoh, Zhang (2004)

change in net operating assets

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1962Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.52%

95% interval −0.21% to 1.48%

Next year

0.61%

95% interval −0.16% to 1.51%

Next five years

0.87%

95% interval −0.02% to 1.66%

Next quarter

1.05%

95% interval 0.41% to 1.85%

Next year

1.16%

95% interval 0.43% to 1.97%

Next five years

1.47%

95% interval 0.47% to 2.41%

Next quarter

0.74%

95% interval −0.67% to 2.17%

Next year

0.87%

95% interval −0.47% to 2.17%

Next five years

1.24%

95% interval 0.03% to 2.27%

Next quarter

1.55%

95% interval 0.76% to 2.57%

Next year

1.68%

95% interval 0.76% to 2.72%

Next five years

2.05%

95% interval 0.75% to 3.25%

Cumulative market-adjusted return

+2,589% since 1962Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1962Q3–2024Q4	5.71%	9.18%	0.62	4.92
2020Q1–2024Q4	3.79%	11.85%	0.32	0.72
2024Q1–2024Q4	−5.34%	9.65%	−0.55	−0.55
1962Q3–2024Q4	9.74%	10.34%	0.94	7.45
2020Q1–2024Q4	4.53%	9.56%	0.47	1.06
2024Q1–2024Q4	1.65%	5.25%	0.31	0.31
1962Q3–2024Q4	7.40%	12.58%	0.59	4.65
2020Q1–2024Q4	0.96%	12.74%	0.08	0.17
2024Q1–2024Q4	−12.39%	11.51%	−1.08	−1.08
1962Q3–2024Q4	13.30%	13.65%	0.97	7.70
2020Q1–2024Q4	5.52%	12.40%	0.45	1.00
2024Q1–2024Q4	6.18%	8.03%	0.77	0.77

Horizon	Mean	95% interval	P(neg)
Next quarter	0.115	−0.047 – 0.324	0.10
Next year	0.134	−0.034 – 0.329	0.07
Next five years	0.189	−0.004 – 0.363	0.03
Next quarter	0.206	0.081 – 0.361	0.00
Next year	0.226	0.084 – 0.382	0.00
Next five years	0.284	0.090 – 0.467	0.00
Next quarter	0.117	−0.109 – 0.346	0.19
Next year	0.138	−0.075 – 0.345	0.12
Next five years	0.197	0.004 – 0.360	0.02
Next quarter	0.231	0.115 – 0.380	0.00
Next year	0.249	0.113 – 0.403	0.00
Next five years	0.301	0.110 – 0.478	0.00