tang · Asset composition · Hahn and Lee (2009)

Tangibility

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.09%

95% interval −0.57% to 0.77%

Next year

0.10%

95% interval −0.58% to 0.78%

Next five years

0.13%

95% interval −0.59% to 0.84%

Next quarter

0.33%

95% interval −0.46% to 1.26%

Next year

0.40%

95% interval −0.45% to 1.29%

Next five years

0.61%

95% interval −0.43% to 1.54%

Next quarter

0.18%

95% interval −0.63% to 1.00%

Next year

0.18%

95% interval −0.65% to 1.02%

Next five years

0.17%

95% interval −0.72% to 1.07%

Next quarter

1.39%

95% interval 0.53% to 2.24%

Next year

1.34%

95% interval 0.49% to 2.22%

Next five years

1.19%

95% interval 0.20% to 2.18%

Cumulative market-adjusted return

−7.9% since 1951Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q1–2024Q4	0.61%	12.06%	0.05	0.44
2020Q1–2024Q4	−2.60%	20.72%	−0.13	−0.28
2024Q1–2024Q4	0.65%	12.86%	0.05	0.05
1951Q1–2024Q4	3.67%	13.08%	0.28	2.42
2020Q1–2024Q4	−1.35%	19.59%	−0.07	−0.15
2024Q1–2024Q4	6.93%	26.22%	0.26	0.26
1951Q1–2024Q4	0.73%	15.14%	0.05	0.41
2020Q1–2024Q4	0.67%	18.24%	0.04	0.08
2024Q1–2024Q4	0.93%	23.01%	0.04	0.04
1951Q1–2024Q4	5.18%	14.63%	0.35	3.04
2020Q1–2024Q4	6.75%	17.41%	0.39	0.87
2024Q1–2024Q4	17.32%	16.15%	1.07	1.07

Horizon	Mean	95% interval	P(neg)
Next quarter	0.016	−0.095 – 0.127	0.39
Next year	0.017	−0.095 – 0.129	0.38
Next five years	0.021	−0.098 – 0.139	0.36
Next quarter	0.051	−0.071 – 0.193	0.24
Next year	0.062	−0.069 – 0.198	0.19
Next five years	0.094	−0.065 – 0.235	0.11
Next quarter	0.024	−0.084 – 0.132	0.33
Next year	0.024	−0.086 – 0.135	0.34
Next five years	0.023	−0.094 – 0.141	0.35
Next quarter	0.192	0.072 – 0.311	0.00
Next year	0.184	0.067 – 0.305	0.00
Next five years	0.162	0.027 – 0.297	0.01