1) For stocks in month t, we calculate the holding period returns
from t- 12 to r - 2 months.
For both Shanghai and Paris, we compute the holding period return
by looking at the change in value of a market-indexed asset between the close of one session and the opening of the next.
In the early sample, a one-percent increase in the appropriate holding period return
results in a 0.
The algorithm utilized to compute the BH mean holding period return
is rewritten as Equation 9 utilizing the product operator specified by Roll.
f] = the risk-free holding period return
corresponding the horizon of the target return.
It is very likely that the November S&P Index is incorrect since the holding period return
from October to December of 1900 (two month holding period) is 14.
Wahal (1996) also shows that holding period returns
did not significantly improve after being targeted, and pension funds do not exclusively target underperforming firms.
As in Barber and Lyon (1997), we also calculate the abnormal holding period return
(AHPR) to determine the relative performance of the ER firms.
IND] is the average three-year holding period return
for the portfolio of industry-matched firms.
it] = Holding period return
for bond i in period t, defined as the end of period bond it price plus the coupon rate minus the beginning of the period bond price divided by the beginning of the period bond price plus accrued interest
Using his perfect foresight investment strategy, the time path of the maximum yield (minimum cost) stock portfolio would have been obtained simply by investing each year in the one common stock that provided the largest one-year holding period return
is the wealth relative, which I define as one plus the average holding period return
for the SEOs divided by the holding-period return for the benchmark.