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).
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where [Ret.sub.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.S.
The randomly selected return and the next n-I consecutive returns are then used to compute the compounded n-year holding-period return. Since the n-year returns are computed from consecutive annual returns, correlation across time in the returns is preserved.
Using the holding-period return formula results in the following annual rates of return.
Consequently, financial economists and investors use a wide variety of terms to describe returns in these different contexts, such as total return, holding-period return, annualized return, simple return, compound return, arithmetic average return, geometric average return, time-weighted return, dollar-weighted return, nominal return, real (inflation-adjusted) return, risk-adjusted return, after-tax return, taxable-equivalent return, internal rate of return, and various modified internal rate of return measures.
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.
The holding-period return could be computed for each year individually.
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.
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:
We define the buy-and-hold abnormal return as the difference between the holding-period returns of the sample and matched firms as
Obviously, if people had perfect foresight about future short-term interest rates, holding-period returns would necessarily be equalized through arbitrage.
The data for bonds are monthly holding-period returns rather than daily returns in view of the fact that bonds tend to be much more thinly traded than common stocks, making their precise market value on any given day somewhat uncertain.

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