DebtIssuance · External financing · Spiess and Affleck-Graves (1999)

Debt Issuance

Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1972Q1 to 2024Q4.

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

Next quarter

2026Q4

−0.99%

95% interval −2.86% to 1.85%

Next year

2026Q4–2027Q3

−0.88%

95% interval −2.80% to 2.00%

Next five years

2026Q4–2031Q3

−0.41%

95% interval −2.58% to 2.43%

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

+345% since 1972Q1 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1972Q1–2024Q4	2.96%	5.22%	0.57	4.13
2020Q1–2024Q4	−3.38%	9.42%	−0.36	−0.80
2024Q1–2024Q4	−1.91%	9.78%	−0.20	−0.20

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.20	−0.56 – 0.36	0.80
2026Q4–2027Q3	−0.15	−0.49 – 0.35	0.78
2026Q4–2031Q3	−0.04	−0.31 – 0.35	0.66