grcapx3y · Investment growth · Anderson and Garcia-Feijoo (2006)

Change in capex (three years)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1954Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.73%

95% interval 0.10% to 1.39%

Next year

0.71%

95% interval 0.09% to 1.37%

Next five years

0.66%

95% interval −0.00% to 1.33%

Next quarter

0.87%

95% interval 0.37% to 1.38%

Next year

0.89%

95% interval 0.35% to 1.40%

Next five years

0.93%

95% interval 0.31% to 1.47%

Next quarter

1.24%

95% interval 0.29% to 2.35%

Next year

1.20%

95% interval 0.29% to 2.23%

Next five years

1.09%

95% interval 0.20% to 2.03%

Next quarter

1.01%

95% interval 0.39% to 1.64%

Next year

1.03%

95% interval 0.39% to 1.65%

Next five years

1.11%

95% interval 0.36% to 1.77%

Cumulative market-adjusted return

+399% since 1954Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1954Q3–2024Q4	2.85%	10.72%	0.27	2.23
2020Q1–2024Q4	4.52%	23.45%	0.19	0.43
2024Q1–2024Q4	14.04%	8.31%	1.69	1.69
1954Q3–2024Q4	4.57%	7.90%	0.58	4.85
2020Q1–2024Q4	5.72%	9.71%	0.59	1.32
2024Q1–2024Q4	−1.14%	3.99%	−0.29	−0.29
1954Q3–2024Q4	4.65%	15.00%	0.31	2.60
2020Q1–2024Q4	5.34%	31.27%	0.17	0.38
2024Q1–2024Q4	22.15%	8.61%	2.57	2.57
1954Q3–2024Q4	5.61%	9.26%	0.61	5.09
2020Q1–2024Q4	6.46%	10.61%	0.61	1.36
2024Q1–2024Q4	0.89%	8.47%	0.11	0.11

Horizon	Mean	95% interval	P(neg)
Next quarter	0.137	0.018 – 0.262	0.01
Next year	0.133	0.016 – 0.256	0.01
Next five years	0.123	−0.000 – 0.248	0.03
Next quarter	0.221	0.094 – 0.350	0.00
Next year	0.225	0.090 – 0.354	0.00
Next five years	0.236	0.079 – 0.372	0.00
Next quarter	0.166	0.039 – 0.315	0.00
Next year	0.161	0.038 – 0.298	0.00
Next five years	0.146	0.026 – 0.270	0.01
Next quarter	0.218	0.086 – 0.355	0.00
Next year	0.224	0.084 – 0.358	0.00
Next five years	0.240	0.078 – 0.381	0.00