CompositeDebtIssuance · External financing · Lyandres, Sun and Zhang (2008)
Composite debt issuance
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1956Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
−0.18%
95% interval −3.13% to 2.76%
Next year
2026Q4–2027Q3
−0.16%
95% interval −3.14% to 2.78%
Next five years
2026Q4–2031Q3
−0.09%
95% interval −3.20% to 2.94%
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.
The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.
Cumulative market-adjusted return
−39% since 1956Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1956Q3–2024Q4 | 1.18% | 8.55% | 0.14 | 1.14 |
| 2020Q1–2024Q4 | −0.05% | 16.75% | −<0.01 | −0.01 |
| 2024Q1–2024Q4 | 0.52% | 13.04% | 0.04 | 0.04 |
| 1956Q3–2024Q4 | 4.90% | 5.11% | 0.96 | 7.94 |
| 2020Q1–2024Q4 | 4.88% | 8.47% | 0.58 | 1.29 |
| 2024Q1–2024Q4 | 1.07% | 7.83% | 0.14 | 0.14 |
| 1956Q3–2024Q4 | 0.07% | 12.36% | 0.01 | 0.05 |
| 2020Q1–2024Q4 | 2.87% | 13.69% | 0.21 | 0.47 |
| 2024Q1–2024Q4 | −8.47% | 19.32% | −0.44 | −0.44 |
| 1956Q3–2024Q4 | 4.34% | 5.75% | 0.76 | 6.25 |
| 2020Q1–2024Q4 | 3.55% | 7.78% | 0.46 | 1.02 |
| 2024Q1–2024Q4 | 1.90% | 9.95% | 0.19 | 0.19 |
| 1956Q3–2024Q4 | 3.85% | 4.55% | 0.84 | 6.99 |
| 2020Q1–2024Q4 | 3.67% | 6.99% | 0.52 | 1.17 |
| 2024Q1–2024Q4 | 0.79% | 2.88% | 0.27 | 0.27 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.08 | −0.18 – 0.34 | 0.27 |
| 2026Q4–2027Q3 | 0.08 | −0.17 – 0.33 | 0.27 |
| 2026Q4–2031Q3 | 0.08 | −0.15 – 0.32 | 0.26 |
| 2026Q4 | 0.84 | 0.57 – 1.09 | <0.01 |
| 2026Q4–2027Q3 | 0.82 | 0.53 – 1.09 | <0.01 |
| 2026Q4–2031Q3 | 0.78 | 0.40 – 1.10 | <0.01 |
| 2026Q4 | −0.01 | −0.25 – 0.22 | 0.55 |
| 2026Q4–2027Q3 | −0.01 | −0.25 – 0.22 | 0.54 |
| 2026Q4–2031Q3 | −0.01 | −0.23 – 0.22 | 0.52 |
| 2026Q4 | 0.56 | 0.27 – 0.85 | <0.01 |
| 2026Q4–2027Q3 | 0.54 | 0.24 – 0.84 | <0.01 |
| 2026Q4–2031Q3 | 0.48 | 0.16 – 0.83 | <0.01 |
| 2026Q4 | 0.74 | 0.50 – 0.98 | <0.01 |
| 2026Q4–2027Q3 | 0.73 | 0.47 – 0.98 | <0.01 |
| 2026Q4–2031Q3 | 0.69 | 0.35 – 0.98 | <0.01 |