Change in Taxes
✓ aliveChTaxOther· Accounting data
4-quarter change in quarterly total taxes (txtq), scaled by lagged total assets (at).
IS Sharpe (1962–2010)
1.408
+13.1% p.a.
OOS Sharpe (2011–2024)
0.781
+5.2% p.a.
Sharpe decay
+44.5%
(IS − OOS) / |IS|
IS vol
9.3%
annualized
Cumulative return (last 40 years, monthly)
+2552%1984-012024-12
Publication details
AuthorsThomas and Zhang
PaperThomas and Zhang (2011)
JournalJournal of Accounting Research
Publication year2011
Original sample1977–2006
IS T-statistic11.26
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