Operating Cash flows to price

✓ alive

cfpValue· Accounting data

Operating cash-flow (oancf) divided by market value of equity. If operating cash-flow is missing, replace by difference betwee net income (ib) and level of accruals, where the latter is the annual change in current assets (act) minus the annual change in cash and short-term investments (che), minus the annual change in current liabilities (lct) plus the annual change in debt in current liabilities (dlc) plus the annual change in payable income taxes (txp) plus depreciation (dp).

IS Sharpe (1964–2003)

0.189

+2.9% p.a.

OOS Sharpe (2004–2024)

0.682

+11.3% p.a.

Sharpe decay

-260.8%

(IS − OOS) / |IS|

IS vol

15.6%

annualized

Cumulative return (last 40 years, monthly)

+939%

1984-012024-12

Publication details

AuthorsDesai, Rajgopal, Venkatachalam

PaperDesai, Rajgopal, Venkatachalam (2004)

JournalAccounting Review

Publication year2004

Original sample1973–1997

IS T-statistic2.77

More Value anomalies

Predicted div yield next month+1.42 Net Payout Yield+0.89 Book to market using December ME+0.68 Book-to-market and accruals+0.65 Sales-to-price+0.64 Efficient frontier index+0.49

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