Finally, we calculate the average of the holding period return
in each [Star.
5) Monthly holding period returns
of property funds, property fund IPOs, SET Index, and SETPROP Index
Daily holding period return
for the day -17 to day +1 are presented in table 2.
I compute the one-year prior holding period return
for each repricing sample firm minus the one-year prior holding period return
for the equally- and value-weighted indices.
Abnormal return is defined as the deviation of the holding period return
to an asset from its normal level.
The problem with the holding period return
is that the formula does not account for the timing of subsequent cash flows into or out of the account.
2]) for the long-term interest rate variable is positive and significant, indicating that life insurer equity values are positively (negatively) related to holding period returns
The average of Romer's September to September holding period return
is over 5% in both data sets, and the mean of her measure of stock market variability is 0.
Later we consider one-month holding period returns
on seasoned T-bills since 1961.
Instead, the B-S BH algorithm effectively biases the mean holding period portfolio return as the initial equal weight of each issue changes to a value-weighted mean holding period return
for the BH portfolio.
For example, the most often cited research using property-specific data to calculate holding period returns
makes these classifications (see Miles and McCue, and Hartzell, Hekman, and Miles, in the Bibliography).
Over the 24 month postperiod, Nike's holding period return