1) For stocks in month t, we calculate the holding period returns
from t- 12 to r - 2 months.
5) Monthly holding period returns
of property funds, property fund IPOs, SET Index, and SETPROP Index
Their analysis of contrarian strategies showed that the holding period returns
of past period losers outperforme the past period winners in all 1-12 months strategies.
Except for the 3-months/3-months strategy, holding period returns
for all the other strategies are gradually declining from portfolio P1 to portfolio P5.
In the second step, I select non-repricing firms with one-year prior holding period returns
(from months -12 to -1) that are within +/- 5% of the repricing firm's one-year prior holding period return
1) To do this, we perform an event analysis of holding period returns
to the SSE Composite Index (SSECI).
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 simple average of the holding period returns
is 15% for both the manager and the benchmark.
Changes in holding period returns
that occur late in the holding period are used to explain the annual production of consumer goods, which includes goods that were produced before the changes in the stock market.
It may be helpful to consider the Dow Jones Industrial Average (DJIA) [Pierce, 1982] as a benchmark to compare the S&P and Cowles monthly holding period returns
We also examine the holding period returns
for TIPS and compare these to the holding period returns
on conventional Treasury securities, both on an after-tax basis.
Later we consider one-month holding period returns
on seasoned T-bills since 1961.