EarnSupBig · Lead lag · Hou (2007)
Earnings surprise of big firms
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.79%
95% interval 0.07% to 7.50%
Next year
2026Q4–2027Q3
3.78%
95% interval 0.06% to 7.50%
Next five years
2026Q4–2031Q3
3.77%
95% interval −0.03% to 7.54%
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
+498% since 1963Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1963Q3–2024Q4 | 4.24% | 14.22% | 0.30 | 2.34 |
| 2020Q1–2024Q4 | 9.62% | 13.11% | 0.73 | 1.64 |
| 2024Q1–2024Q4 | 4.03% | 4.30% | 0.94 | 0.94 |
| 1963Q3–2024Q4 | 6.30% | 12.67% | 0.50 | 3.90 |
| 2020Q1–2024Q4 | 21.92% | 17.79% | 1.23 | 2.75 |
| 2024Q1–2024Q4 | 15.12% | 15.03% | 1.01 | 1.01 |
| 1963Q3–2024Q4 | 4.15% | 15.83% | 0.26 | 2.06 |
| 2020Q1–2024Q4 | 12.46% | 18.59% | 0.67 | 1.50 |
| 2024Q1–2024Q4 | −6.44% | 6.83% | −0.94 | −0.94 |
| 1963Q3–2024Q4 | 6.68% | 14.57% | 0.46 | 3.60 |
| 2020Q1–2024Q4 | 21.74% | 22.30% | 0.97 | 2.18 |
| 2024Q1–2024Q4 | 12.85% | 16.30% | 0.79 | 0.79 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.27 | 0.04 – 0.51 | 0.01 |
| 2026Q4–2027Q3 | 0.27 | 0.03 – 0.51 | 0.01 |
| 2026Q4–2031Q3 | 0.26 | 0.02 – 0.50 | 0.01 |
| 2026Q4 | 0.51 | 0.24 – 0.88 | <0.01 |
| 2026Q4–2027Q3 | 0.51 | 0.24 – 0.82 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.23 – 0.72 | <0.01 |
| 2026Q4 | 0.24 | <0.01 – 0.47 | 0.02 |
| 2026Q4–2027Q3 | 0.24 | <0.01 – 0.48 | 0.02 |
| 2026Q4–2031Q3 | 0.24 | −<0.01 – 0.48 | 0.03 |
| 2026Q4 | 0.47 | 0.20 – 0.80 | <0.01 |
| 2026Q4–2027Q3 | 0.46 | 0.20 – 0.75 | <0.01 |
| 2026Q4–2031Q3 | 0.43 | 0.19 – 0.66 | <0.01 |