iomom_supp · Lead lag · Menzly and Ozbas (2010)

Suppliers momentum

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1986Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.94%

95% interval 0.01% to 1.85%

Next year

0.92%

95% interval −0.02% to 1.86%

Next five years

0.86%

95% interval −0.19% to 1.87%

Next quarter

0.64%

95% interval −0.09% to 1.47%

Next year

0.67%

95% interval −0.12% to 1.49%

Next five years

0.76%

95% interval −0.19% to 1.62%

Next quarter

0.52%

95% interval −0.47% to 1.56%

Next year

0.52%

95% interval −0.56% to 1.61%

Next five years

0.51%

95% interval −0.87% to 1.80%

Next quarter

0.83%

95% interval −0.22% to 1.84%

Next year

0.81%

95% interval −0.28% to 1.88%

Next five years

0.75%

95% interval −0.53% to 2.02%

Cumulative market-adjusted return

+268% since 1986Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1986Q2–2024Q4	4.17%	12.83%	0.32	2.02
2020Q1–2024Q4	4.60%	15.13%	0.30	0.68
2024Q1–2024Q4	0.48%	15.03%	0.03	0.03
1986Q2–2024Q4	4.40%	9.92%	0.44	2.76
2020Q1–2024Q4	−0.87%	15.26%	−0.06	−0.13
2024Q1–2024Q4	−2.48%	22.00%	−0.11	−0.11
1986Q2–2024Q4	2.91%	15.11%	0.19	1.20
2020Q1–2024Q4	2.46%	16.57%	0.15	0.33
2024Q1–2024Q4	−5.77%	8.84%	−0.65	−0.65
1986Q2–2024Q4	3.65%	15.01%	0.24	1.51
2020Q1–2024Q4	3.36%	21.49%	0.16	0.35
2024Q1–2024Q4	5.44%	20.54%	0.26	0.26

Horizon	Mean	95% interval	P(neg)
Next quarter	0.148	0.001 – 0.290	0.02
Next year	0.144	−0.003 – 0.290	0.03
Next five years	0.134	−0.029 – 0.292	0.05
Next quarter	0.129	−0.019 – 0.297	0.05
Next year	0.135	−0.023 – 0.300	0.05
Next five years	0.153	−0.038 – 0.326	0.05
Next quarter	0.070	−0.062 – 0.207	0.15
Next year	0.069	−0.074 – 0.214	0.17
Next five years	0.067	−0.115 – 0.239	0.22
Next quarter	0.111	−0.029 – 0.246	0.06
Next year	0.108	−0.037 – 0.251	0.07
Next five years	0.101	−0.071 – 0.269	0.12