Share issuance (5 year)

✓ alive

ShareIss5YFinancing· Accounting data

5-year growth in number of shares. Number of shares is calculated as shrout/cfacshr to adjust for splits.

IS Sharpe (1931–2005)

0.442

+4.1% p.a.

OOS Sharpe (2006–2024)

0.766

+10.2% p.a.

Sharpe decay

-73.3%

(IS − OOS) / |IS|

IS vol

9.3%

annualized

Cumulative return (last 40 years, monthly)

+1888%

1984-012024-12

Publication details

AuthorsDaniel and Titman

PaperDaniel and Titman (2006)

JournalJournal of Finance

Publication year2006

Original sample1968–2003

IS T-statistic4.39