AccrualsBM · Valuation · Bartov and Kim (2004)
Book-to-market and accruals
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1964Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
14.10%
95% interval 7.80% to 20.10%
Next year
2026Q4–2027Q3
14.11%
95% interval 7.70% to 20.14%
Next five years
2026Q4–2031Q3
14.13%
95% interval 7.23% to 20.21%
Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q4. The 7 quarters between then and 2026Q4 are unobserved and are integrated out under the model.
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+770,153% since 1964Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1964Q3–2024Q4 | 17.16% | 20.94% | 0.82 | 6.36 |
| 2020Q1–2024Q4 | 18.53% | 21.89% | 0.85 | 1.89 |
| 2024Q1–2024Q4 | 24.91% | 25.15% | 0.99 | 0.99 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.67 | 0.37 – 0.96 | <0.01 |
| 2026Q4–2027Q3 | 0.66 | 0.34 – 0.96 | <0.01 |
| 2026Q4–2031Q3 | 0.62 | 0.25 – 0.96 | <0.01 |