Intangible return using Sale2P

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IntanSPReversal· Accounting data

In each month, run a cross-sectional regression of a firm's five-year stock return on 5 year lagged SP (defined above) and a constructed regressor that is the change in SP from 5 years ago to today plus the five-year stock return. The residual from that regression is IntanSP.

IS Sharpe (1956–2005)

0.410

+6.0% p.a.

OOS Sharpe (2006–2024)

0.143

+2.3% p.a.

Sharpe decay

+65.1%

(IS − OOS) / |IS|

IS vol

14.5%

annualized

Cumulative return (last 40 years, monthly)

+116%

1984-012024-12

Publication details

AuthorsDaniel and Titman

PaperDaniel and Titman (2006)

JournalJournal of Finance

Publication year2006

Original sample1968–2003

IS T-statistic4.24

More Reversal anomalies

Intangible return using CFtoP+0.31 Intangible return using EP+0.29 Medium-run reversal+0.29 Long-run reversal+0.28 Intangible return using BM+0.11

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