Holding-period return

Holding-period return

Rate of return on an investment over a given period.

Holding Period Return

The return on an investment during the time one holds the investment. The HPR is calculated by taking the income and other gains on the investment and dividing it by the historical cost. It is a useful way to compare the expected return to the actual return. The HPR may be calculated for any type of investment. It is also called the holding period yield (HPY).
References in periodicals archive ?
HML_Dur] is the holding-period return on the HML portfolio; %[DELTA]AggDur is the percentage change in aggregate ten-year-equivalent duration outstanding; %[DELTA]FV is the percentage change in the aggregate face value of U.
Finally, we include the holding-period return on the market portfolio of all bonds to control for the fact that the high-duration bonds are more sensitive, by construction, to shifts in the yield curve.
This return (and the others we report) is calculated by computing the firm's holding-period return and subtracting from it the holding-period return on an industry portfolio (with daily rebalancing and excluding the sample firm) based on the firm's two-digit SIC industry, as defined by CRSP.
Model 2 includes the acquirer's excess holding-period return around the deal's announcement in the Wall Street Journal (A-announcement return).
The expectations hypothesis would suggest that this slope is due to either (1) a persistently incorrect belief that the interest rate will begin to fall about twenty years from now or (2) a decrease in the risk premium for bonds with maturities beyond twenty years, even though the uncertainty of the holding-period return for thirty-year bonds is greater than that for twenty-year bonds.
For now, focus on the holding-period return on a one-period bond, which is known in advance since the one-period bond delivers one dollar without fail next period (see the table).
Under this theory, if long-term rates, such as the 7-year rate, did not fall today, then the expected holding-period return over the next four years would be higher for those who held long-term bonds than for those who held a succession of short-term bonds throughout the period.
We calculate the total holding-period return earned by an investor purchasing the shares of a SIP by using the first available closing market price after the initial offering date.
Our measure of long-term abnormal performance is the abnormal long-term holding-period return and is calculated as follows:
Our measure of issuing firm abnormal post-issue l ong-run stock price performance is the holding-period return for the issuing firm minus the holding-period return for its reference portfolio over the same period (henceforth the portfolio-adjusted return).
In particular, three-year holding-period returns, compounded monthly, are examined for acquiring firms and for industry-matched firms that did not make acquisitions during the period.
12) Table 5 shows the various statistics of the three different holding-period returns of the short-maturity straddles from this exercise.