Intangible return using BM
↓ fadedIntanBMReversal· Accounting data
In each month, run a cross-sectional regression of a firm's five-year stock return on 5 year lagged BM (defined above) and a constructed regressor that is the change in BM from 5 years ago to today plus the five-year stock return. The residual from that regression is IntanBM.
IS Sharpe (1966–2005)
0.371
+4.6% p.a.
OOS Sharpe (2006–2024)
0.113
+1.5% p.a.
Sharpe decay
+69.5%
(IS − OOS) / |IS|
IS vol
12.5%
annualized
Cumulative return (last 40 years, monthly)
+71%1984-012024-12
Publication details
AuthorsDaniel and Titman
PaperDaniel and Titman (2006)
JournalJournal of Finance
Publication year2006
Original sample1968–2003
IS T-statistic3.99
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