CompEquIss · External financing · Daniel and Titman (2006)

Composite equity issuance

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1931Q2 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

4.09%

95% interval 0.14% to 8.22%

Next year

2026Q4–2027Q3

4.07%

95% interval 0.11% to 8.22%

Next five years

2026Q4–2031Q3

3.96%

95% interval −0.02% to 8.22%

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

+635% since 1931Q2 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1931Q2–2024Q4	2.12%	16.38%	0.13	1.26
2020Q1–2024Q4	2.55%	17.31%	0.15	0.33
2024Q1–2024Q4	12.26%	15.78%	0.78	0.78
1931Q2–2024Q4	1.62%	13.51%	0.12	1.16
2020Q1–2024Q4	1.29%	11.90%	0.11	0.24
2024Q1–2024Q4	4.47%	7.05%	0.63	0.63
1931Q2–2024Q4	3.83%	18.60%	0.21	1.99
2020Q1–2024Q4	9.38%	24.85%	0.38	0.84
2024Q1–2024Q4	20.34%	16.79%	1.21	1.21
1931Q2–2024Q4	2.22%	15.73%	0.14	1.37
2020Q1–2024Q4	4.07%	13.86%	0.29	0.66
2024Q1–2024Q4	9.72%	4.52%	2.15	2.15

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.13	−0.07 – 0.34	0.10
2026Q4–2027Q3	0.13	−0.07 – 0.33	0.10
2026Q4–2031Q3	0.12	−0.08 – 0.32	0.11
2026Q4	0.11	−0.10 – 0.32	0.16
2026Q4–2027Q3	0.10	−0.10 – 0.31	0.16
2026Q4–2031Q3	0.09	−0.10 – 0.29	0.17
2026Q4	0.22	0.01 – 0.44	0.02
2026Q4–2027Q3	0.21	0.01 – 0.43	0.02
2026Q4–2031Q3	0.20	−<0.01 – 0.39	0.03
2026Q4	0.18	−0.05 – 0.40	0.06
2026Q4–2027Q3	0.16	−0.05 – 0.37	0.07
2026Q4–2031Q3	0.12	−0.07 – 0.31	0.10