Composite debt issuance
✓ aliveCompositeDebtIssuanceFinancing· Accounting data
Log of long-term debt (dltt) plus debt in current liabilties (dlc) minus log of the same variable 5 years ago.
IS Sharpe (1956–2007)
0.797
+3.3% p.a.
OOS Sharpe (2008–2024)
0.544
+2.6% p.a.
Sharpe decay
+31.7%
(IS − OOS) / |IS|
IS vol
4.1%
annualized
Cumulative return (last 40 years, monthly)
+297%1984-012024-12
Publication details
AuthorsLyandres, Sun and Zhang
PaperLyandres, Sun and Zhang (2008)
JournalReview of Financial Studies
Publication year2008
Original sample1970–2005
IS T-statistic8.59
More Financing anomalies
Net external financing+0.86Share issuance (5 year)+0.77Share issuance (1 year)+0.75Net equity financing+0.71Net debt financing+0.70Convertible debt indicator+0.67
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