As detailed below, the above-posed research question was explored through analysis of several corporate financial performance measures with the long-term holding period return
of the firms in the S&P 1500 over three sequential five-year periods.
(1) For stocks in month t, we calculate the holding period returns
from t- 12 to r - 2 months.
We first tried regressing the daily holding period return
for the SSECI on a variety of Asian indices.
In order to make a comparison, the paper predicts consumer durable production by employing the model that appears in column 3 of Table 2, which keeps Romer's specification of stock price variability, but includes a holding period return
that is lagged 12 months.
Return estimation problems continue to affect those market studies which utilize closing prices to measure mean holding period returns
. The return estimation problem is particularly relevant for size effect studies.
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).
Perf is the 'holding period return
' in percent, which are the numbers in the upper part of the table.
After 24 months in their postmatch period, Greif's holding period return
is 100%, while Xerox's holding period return
Holding period returns
were calculated subsequent to the FFRT change for 5-day, 10-day, 30-day periods, and for the entire interval of time before the FFRT changed again.
[W.sub.t] is the one year holding period return
of the deflated stock market index calculated from September of year t - 1 to September of year t.
With regard to the holding period return
of 21.47%, Wahlgren considered the risk-free yield on U.S.
Wahal (1996) also shows that holding period returns
did not significantly improve after being targeted, and pension funds do not exclusively target underperforming firms.