AnnouncementReturn · Earnings event · Chan, Jegadeesh and Lakonishok (1996)
Earnings announcement return
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1971Q4 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
11.38%
95% interval 8.27% to 14.67%
Next year
2026Q4–2027Q3
11.32%
95% interval 8.09% to 14.69%
Next five years
2026Q4–2031Q3
11.08%
95% interval 7.24% to 14.75%
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.
Cumulative market-adjusted return
+120,080% since 1971Q4 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1971Q4–2024Q4 | 6.81% | 8.61% | 0.79 | 5.77 |
| 2020Q1–2024Q4 | 3.99% | 13.52% | 0.29 | 0.66 |
| 2024Q1–2024Q4 | 8.08% | 27.28% | 0.30 | 0.30 |
| 1971Q4–2024Q4 | 12.18% | 6.16% | 1.98 | 14.44 |
| 2020Q1–2024Q4 | 3.73% | 8.94% | 0.42 | 0.93 |
| 2024Q1–2024Q4 | −2.95% | 9.44% | −0.31 | −0.31 |
| 1971Q4–2024Q4 | 14.19% | 11.61% | 1.22 | 8.92 |
| 2020Q1–2024Q4 | 13.90% | 14.06% | 0.99 | 2.21 |
| 2024Q1–2024Q4 | 27.76% | 18.36% | 1.51 | 1.51 |
| 1971Q4–2024Q4 | 15.82% | 8.34% | 1.90 | 13.83 |
| 2020Q1–2024Q4 | 3.08% | 11.79% | 0.26 | 0.58 |
| 2024Q1–2024Q4 | −4.55% | 14.35% | −0.32 | −0.32 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.56 | 0.22 – 0.90 | <0.01 |
| 2026Q4–2027Q3 | 0.54 | 0.20 – 0.90 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.13 – 0.90 | <0.01 |
| 2026Q4 | 0.76 | 0.50 – 1.08 | <0.01 |
| 2026Q4–2027Q3 | 0.69 | 0.43 – 1.01 | <0.01 |
| 2026Q4–2031Q3 | 0.49 | 0.26 – 0.81 | <0.01 |
| 2026Q4 | 0.98 | 0.72 – 1.26 | 0.00 |
| 2026Q4–2027Q3 | 0.94 | 0.65 – 1.26 | 0.00 |
| 2026Q4–2031Q3 | 0.79 | 0.43 – 1.25 | 0.00 |
| 2026Q4 | 0.60 | 0.36 – 0.90 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.31 – 0.86 | <0.01 |
| 2026Q4–2031Q3 | 0.41 | 0.19 – 0.72 | <0.01 |