Change in long-term investment

⚠ weakened

DelLTIInvestment· Accounting data

Difference in investment and advances (ivao) between years t-1 and t, scaled by average total assets (at) in years t-1 and t.

IS Sharpe (1953–2004)

0.503

+2.4% p.a.

OOS Sharpe (2005–2024)

0.363

+1.4% p.a.

Sharpe decay

+27.8%

(IS − OOS) / |IS|

IS vol

4.7%

annualized

Cumulative return (last 40 years, monthly)

+142%

1984-012024-12

Publication details

AuthorsRichardson et al.

PaperRichardson et al. (2005)

JournalJournal of Accounting and Economics

Publication year2005

Original sample1962–2001

IS T-statistic3.38