Academic literature on the topic 'Holding Period Return'
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Journal articles on the topic "Holding Period Return"
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Ramaiah Ramasamy, Rajamohan, and Sathish Pachiyappan. "Holding period for positive return from Indian mutual funds." Investment Management and Financial Innovations 16, no. 1 (April 2, 2019): 346–64. http://dx.doi.org/10.21511/imfi.16(1).2019.27.
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In India, households predominantly prefer to invest their surplus in financial securities, which provide stable return irrespective of whether they beat inflation or help in creating wealth. However, financial planners advise their clients to invest their surplus for long term in risky assets such as mutual funds to generate inflation beating returns. But when households ask for the meaning of long term in a definite number, it varies among the financial advisors. Hence, the study made an attempt to answer this question by calculating the minimum time duration required to generate a minimum positive return for two indices (NIFTY 50, S&P BSE SENSEX) and 6 mutual fund schemes for a period of 23 years and the same two indices (NIFTY 50, S&P BSE SENSEX) and 20 mutual fund schemes for a period of 12 years and found out that the time horizon or the long term to ensure minimum positive return ranges from 5 years to 9 years depending up on the type of fund or the level of risk associated with the mutual fund schemes.
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Brooks, Robert, and Kate Upton. "Bond Portfolio Holding Period Return Decomposition." Journal of Investing 26, no. 2 (May 31, 2017): 78–90. http://dx.doi.org/10.3905/joi.2017.26.2.078.
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Lubis, Bintang Lakitang, Ahmad Rifai, and M. Iqbal Harori. "PENGARUH MARKET VALUE, VARIANCE RETURN, DAN VOLUME PERDAGANGAN TERHADAP PERIODE KEPEMILIKAN SAHAM (HOLDING PERIOD)." Jurnal Perspektif Bisnis 3, no. 1 (May 31, 2020): 11–20. http://dx.doi.org/10.23960/jpb.v3i1.12.
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The purpose of this study is to determine the effect of market value, variance return and trading volume on the holding period. The sampling technique in this study used a purposive sampling method and obtained as many as 6 companies listed in the IDXBUMN20 index. The data analysis technique used multiple regression panel data models and using the analysis tool Eviews 9. Based on the t test (partial) shows that the market value, variance return and trading volume has significantly effect and negative relationship on holding period in a partial way. Based on the F test (simultaneous) shows that the market value, variance return and trading volume have significantly effect on the holding period.
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Ardana, Yudhistira, Tiara Novia Fatrin, and Wulandari Wulandari. "Faktor-faktor yang Mempengaruhi Holding Period Saham." Benefit: Jurnal Manajemen dan Bisnis 3, no. 1 (July 16, 2018): 89. http://dx.doi.org/10.23917/benefit.v3i1.6117.
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Stocks are an investment that many investors choose because they are able to provide an attractive rate of return. Holding period is a period that indicates the length of this study was to determine the factors that affected the holding period of shares partially on the companies listed into to LQ45 index. This study used a descriptive method, with the purposive sampling technique and it obtained 21 companies as the research sample. The result of the research showed that the market value and the trading volume were partially significant to the holding period of stock with and sig value was smaller than 0,05 (sig < 0,05) that was 0,000 and 0,005, while the bid-ask spread, variance return, and dividend payout ratio partially had no significant effect on the holding period of stock with the value of and the sig value was greater than 0,05 (sig > 0,05) that was equal to 0,414, 0,706, and 0,673. The value of the adjusted r square (R²) of 0,381 or 38,1% indicated the the bid-ask spread, the market value, the trading volume, the variance return, the dividend payout ratio could explain the holding period of 38,1%, while the remaining 61,9% was explained by other variables outside the study.
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Anderson, Gary A., and Joel R. Barber. "PROJECT HOLDING-PERIOD RATE OF RETURN AND THE MIRR." Journal of Business Finance & Accounting 21, no. 4 (June 1994): 613–18. http://dx.doi.org/10.1111/j.1468-5957.1994.tb00340.x.
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Gilmer, R. H. "Risk and return: A question of the holding period." Journal of Economics and Business 40, no. 2 (May 1988): 129–37. http://dx.doi.org/10.1016/0148-6195(88)90012-4.
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Abraham, Rebecca, Judith Harris, and Joel Auerbach. "IPO performance at announcement and in the aftermarket." Journal of Economic Studies 43, no. 4 (September 12, 2016): 574–86. http://dx.doi.org/10.1108/jes-04-2015-0062.
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Purpose The purpose of this paper is to investigate IPO performance. At announcement, the impact of purchases by informed traders on stock returns and uninformed traders on volatility were assessed. In the post-IPO period, returns were expected to be driven by firms with high returns on equity and the implementation of growth strategies. Return on equity was evaluated further in terms of whether it had a direct effect or was instrumented by volatility, cash flow, profit margin or revenue growth. Design/methodology/approach All IPOs announced in 2009-2014 were used. Measures were created to demarcate growth firms from risk-averse firms and firms with highly volatile cash flows from their counterparts with cash flows of lesser volatility. Event studies were used to measure abnormal return and abnormal volume, while multiple regressions tested the influence of predictors on abnormal returns, volatility and holding period return. Instruments of return on equity were also assessed. Findings The offer volume of informed traders significantly explained announcement-day returns, while the offer volume of uninformed traders explained the increase in volatility of IPO stock. The ability to capitalize on growth opportunities and increase shareholder wealth through higher return on equity significantly predicted holding period returns. Return on equity, was explained by volatility, cash flow to assets and profit margin. Originality/value The data are highly current with 2014 IPOs being used. The paper clearly distinguishes between fleeting announcement-day returns driven by informed traders and long-term holding period returns in a departure from the prevailing practice of measuring long-term post-IPO performance with abnormal returns. Finally, the paper creates subjective measures of volatility and growth strategies.
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Azaria, Ainun, and Sylva Alif Rusmita. "Identifikasi Holding Period Bank Umum Syariah di Bursa Efek Indonesia." Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 8 (January 17, 2020): 1733. http://dx.doi.org/10.20473/vol6iss20198pp1733-1740.
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This study aims to determine the effect of bid-ask spread, stock return and trading volume on the holding period of sharia commercial bank shares. This study uses a purposive sampling method, and from the specified criteria there were 3 Sharia Commercial Banks obtained, that meet the criteria and can be used as samples. The data used is in the form of daily reports obtained from the IDX website. This study uses a quantitative approach with descriptive analysis analysis techniques. The results of this study indicate that the stock holding period of Islamic Commercial Banks can be seen based on the bid-ask spread, stock return and trading volume.Keywords: Holding Period Saham, Bid-Ask Spread, Return Saham, Volume Perdagangan
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Garnia, Erna, Ina Primiana, Rachmat Sudarsono, and Dian Masyita. "On the Relationships Among Expected Return, Volume, Holding Period, and Bid-Ask Spread in Indonesia Stock Market." Advanced Science Letters 21, no. 4 (April 1, 2015): 589–91. http://dx.doi.org/10.1166/asl.2015.5904.
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The relationships among expected return and various liquidity measures are first examined theoretically in this paper. Under constant holding period, it is shown that the expected return is proportional to the bid-ask spread. Under constant expected return, the holding period is proportional to the bid-ask spread and the volume is inversely proportional to the bid-ask spread. Under constant bid-ask spread, the expected return is inversely proportional to the holding period and is also proportional to the volume. Based on five years data from Indonesia Stock Market, the previous relationships are examined empirically.
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Santoso, Eko Budi. "ANALISIS PENGARUH TRANSACTION COST TERHADAP HOLDING PERIOD SAHAM BIASA." Jurnal Riset Akuntansi dan Keuangan 4, no. 2 (August 1, 2008): 116. http://dx.doi.org/10.21460/jrak.2008.42.147.
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The moin pwpose of this sndy is to test the effect of transaction cost totntdins period of common stock This srudy iwestigates whether investorswith longer (shorter) hwestment time horizon lold common stockswith higher (owe) bid-qsk spred as a prory of tronsaction cost. Besides,thk study also added two independent voiables such as marketvalue and variance ofrefirn-The statistical method ued in this study is two-stage least square regressionsbecause the itnestorb tnlding period md the bid-ask spreadfor each stoch are simultoteously determined. The result shows that bidask spred related positivefu ord significott to holding period. The bidask spread, morket yalue, and varianee of return have a significant Kqruords: Trqtsaction Cost, Bid-Ask Spread, Holding Period, Market Value, Variance of Return
Dissertations / Theses on the topic "Holding Period Return"
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Sun, Mingru. "Transaction cost, holding period and return volatility : an investigation of the stock market microstructure on the Chinese stock market." Thesis, University of Birmingham, 2009. http://etheses.bham.ac.uk//id/eprint/1224/.
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The newly established Chinese stock market presents us with an interesting case-study of a market which has distinct features and special microstructures. This thesis focuses on the investigation of transaction cost, stock holding period and return volatility with a market microstructure approach. The chapters are mainly motivated by the following issues. 1. What causes the transaction costs disparity of Chinese domestic and foreign-shares? Chapter 3 explores the characteristics of Chinese domestic and foreign shares and examines the transaction cost (measured by bid-ask spread) of the individual shares. We find that the average transaction cost of foreign shares is significantly higher than that of domestic shares. We estimate informed-trading cost component of transaction cost for each share and find it is higher for foreign shares than for domestic shares. After controlling for the informed-trading cost, the transaction cost disparity disappears. Our finding suggests that the higher transaction cost of foreign shares can be attributed to the higher informed-trading costs faced by foreign share investors. 2. How do transaction cost and stock return affect investor’s holding period for a stock? Do investors in Chinese stock market tend to sell the winning stocks too soon and hold the losers too long? Chapter 4 investigates the relationship between stock transaction cost and holding period. We compute the holding period for each individual domestic and foreign shares following the method of Atkins and Dyl (1990), the transaction cost and holding period relationship is estimated by the two-stage least square using panel data. Our results provide strong evidence that assets with higher transaction costs will be held by investors with longer holding periods. We also observe that foreign share investors are more sensitive to transaction costs. The disposition effect investigation suggests a negative relationship between stock return and holding period, which indicates both domestic and foreign share investors have the tendency of selling winning stocks too soon and holding losing stocks too long. The disposition effect is stronger in the domestic share market. 3. If transaction cost and trading volume can be regarded as a proxy of information arrival, do they help on explaining stock return volatility persistence? Chapter 5 applies the popular GARCH model to investigate the dynamic relationship of return volatility, trading volume and transaction cost. Based on the mixture of distributions hypothesis (MDH), we include trading volume and transaction cost as mixing variables of information arrival in GARCH model for individual stocks. Our results confirm the relevancy and validity of the MDH for individual stocks. We also find that the trading volume and transaction cost help to explain the GARCH effects on stock return and the persistence of the conditional variance reduces for most stocks. However, as information variables, their power on explaining volatility is limited. The return volatility is better explained by previous volatility. The final chapter summarises the main results of this thesis as well as the future research plan.
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Wallenius, Christoffer, and Jimmy Shamon. "Investerande i hög direktavkastning på den svenska aktiemarknaden : En empirisk studie av investeringsstrategin Dogs of the Dow applicerad på den svenska aktiemarknaden mellan åren 2004–2010." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-9008.
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Problemformulering: Går det att uppnå en signifikant återkommande överavkastning samt riskjusterad överavkastning i förhållande till den svenska aktiemarknaden genom systematiskt följande av investeringsstrategin “Dogs of the Dow”? Syfte: Syftet är att undersöka huruvida teorin ”Dogs of the Dow” är applicerbar på den svenska aktiemarknaden i sökandet efter en signifikant återkommande överavkastning i förhållande till marknaden. Med detta hoppas det finnas en positiv differens av den riskjusterade överavkastningen gentemot index. Metod: Studien samlar in primärdata för empirin via SIX Trust, SIX Edge samt från Riksbankens hemsida. Sekundärdata härstammar från vetenskapliga artiklar uthämtade från främst JStor och EBSCO Host. Även studentlitteratur, tidigare studier utgör sekundärdata. Studien tillämpar befintliga teorier för att via modeller studera studiens syfte. Resultat: Resultatet anses av författarna vara imponerande. Portföljerna sammansatta i enlighet med investeringsstrategin ”Dogs of the Dow” presterar till de skådade faktorerna i genomsnitt över lag bättre än jämförelseindexen SIXRX och SIX30RX. Resultaten kan dock inte fastställas statistiskt men författarna önskar skilja på statistisk och praktisk signifikans då en möjlig kumulativ effekt genererar enorm förmögenhetsutveckling.Problem: Is it possible to receive a reoccurring significant abnormal return as well as risk adjusted abnormal return against the Swedish stock market through systematic appliance of the investment strategy ”Dogs of the Dow”? Objective: The objective is to study whether the theory ”Dogs of the Dow” is applicable on the Swedish stock market in the search of a significant reoccurring abnormal return against the market. The hopes are to find a positive difference between the risk adjusted abnormal return and index. Method: The study collects the primary empirical data through SIX Trust, SIX Edge as well as from the Swedish central bank. The secondary data is derived from scientific articles, student literature, and previous studies. Models are used to study the objective. Results: The authors find the results to be impressive. The portfolios structured through the investment strategy “Dogs of the Dow” outperform the comparison indices SIXRX and SIX30RX in general on all the observed accounts. The results can although not be stated as statistically significant within any reasonable confidence levels, but the authors would like to emphasize the difference between the terms statistically and practically significant. This since cumulative gains could contribute to a massive gain of wealth which could be practically significant for the long-term investor.
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Vorster, Barend Christiaan. "Liquidity premium and investment horizon a research report on the influence of liquidity on the return and holding period of securities on the Johannesburg Stock Exchange /." Diss., Pretoria : [s.n.], 2008. http://upetd.up.ac.za/thesis/available/etd-08122008-115611/.
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Gregoriou, Andros. "The impact of transactions costs in the UK stock market : evidence and implications." Thesis, Brunel University, 2003. http://bura.brunel.ac.uk/handle/2438/5243.
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There has been an increasing interest in the finance literature regarding the impact of transactions costs on US equity markets. The US empirical evidence indicates that transactions costs influence both trading volume (Atkins and Dyl (1997)) and asset returns (Amihud and Mendelson (1986)). Additionally, the theoretical finance literature also indicates that transactions costs affect equilibrium asset returns (Fisher (1994)). In this thesis we assess the impact of transactions costs on the UK equity markets, from four aspects. Firstly, we provide empirical support to the hypothesis that transactions costs affect the "holding period" of an asset in the portfolio of an investor. Secondly, we provide robust results showing that transactions costs affect equilibrium asset returns. Thirdly, we explain the variability of transactions costs with the use of information asymmetry, proxied by the variance of analysts' forecasts, in the spirit of Kim and Verrecchia (1994, 2001). Finally, we find that stock price and trading volume reaction to changes in the FTSE 100 list can be explained by liquidity effects, as proxied by the bid-ask spread. We provide overwhelming evidence, suggesting that transactions costs are important in UK equity markets.
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Hsu, Hui-Hsi, and 徐煇熹. "Emerging Stock Holding Period and Return." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/18780376474973413069.
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碩士真理大學
經濟學系財經碩士班
98
This study examines whether stock selection strategies can earn significant excess returns in Taiwan emerging stock market. First, the findings suggest that value strategies using E/P ratio to hold 12, 24, 36 months period generate significant excess returns and B/P ratio strategies to hold 6, 9, 12, 24, 36 month period show significant excess returns. Second, momentum strategies using the past 3-month of return to hold of 1, 3, 6, 9 month period show significant excess returns and the past 6-, 9-, 12-months of return to hold of 1, 3, 6, 9, 12 month period show significant excess returns; the past 24-months of return to hold of 3 month period of showed significant returns. Third, size and liquidity strategies using company size to hold 12, 24, 36 month period earn significant excess return, and the strategies using turnover ratio to hold 24, 36 month period show significant excess returns.
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Wu, Edward, and 吳夢麟. "A Study of Holding Period and Average Return in Stock Market." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/41794610887218930068.
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陳秋萍. "The Determinants of the Holding Period Return of the Mutual Funds." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/92299616538170554792.
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碩士佛光大學
管理學系
101
According to Securities Investment Trust and Consulting Association (SITCA) record until September of 2012 , the amount of domestic investment of offshore fund is up to 254.39 billion. From 2006 to 2012, the growth of offshore fund assets is up to 295.8 times. It means domestic investors like offshore fund mostly. There are 1,026 offshore funds at the end of September 2012. It is very difficult to choose from so many funds. So we try to find which one is the key factor. In this research, Beta,Sharpe, VIX (option volatility Index), Bus (Economic monitoring indicator), M1b are used from the SITCA web site. From these 5 factors, which one is the key factor to effect ROI (the rate of return)? We research 75 funds from Smart Funds of Taiwan Prize. our sample are 54 offshore funds subtracting 18 domestic funds and 3 funds without complete data. We sort our samples according to the fund size and ROI of 5 years. We can get 9 portfolios, namely (S1,R1) ….(S3,R3). The percentage of stock funds is higest, but investors like to invest bond funds, and so this is an interesting situation. The investors do not like risky funds butthey like to invest fixed income funds. The most of winning funds is the offshore fund, and domestic funds are only 20%. Maybe it isn’t a good method that investors choose funds according to Morningstars rating. It is because only two stars rating will still win the prize. The winner companys are Aberdeen Asset Management、BlackRock, Inc. and Franklin Templeton Asset Management. The above three companys get the most part of the prize. It means the investing performance of these three asset management companysis better and the rating company likes them.The timing of investment is also very important. The empirical results show Beta and Sharpe are positively correlated to ROI.The investors can use these two indexes to choose funds. When the indexis higher, the ROI will be higher too. There is a significantly negative relationship between VIX (option volatility Index) and ROI . When the investors sell theirpostions with fear, it results in the phenomenon of declining returns. We can use it as our experience. When the market with panicit means the market performance will be reverse. It will be a safe way to invest our money when index is lower. Bus (Economic monitoring indicator) and ROI are significantly negative related. When economic situation goes slowdown, blue index is a good timing to invest and red index is a timimg to go out of market. Just in one of our portfolios M1b is positively related to ROI, and in our other portfolio M1b is negative related with ROI. We can find the volatility will be smaller in both with stock funds and bond funds within (S2,R2).and he investing performance is relatively stable. The investors who dislike risk such as retired persons should balance their portfolios into stocks and bonds.
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Huang, Chia-Chi, and 黃嘉琪. "The Special Characteristics and Near Approximations of the Holding Period Return of R.O.C. Government Bonds." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/94717783439811184115.
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碩士國立臺灣大學
商學研究所
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Title of Thesis The Special Characteristics and Near Approximations of the Holding Period Return of R.O.C. Government Bonds Name of Institute Graduate School of Business Administration , National Taiwan University Name of Student Chia-Chi Huang Advisor Shyan-Yuan Lee Ph.D. , Ming-Huang Chiang Ph.D. Abstract This thesis first built a d ecopposing model for bond holding-period returns so as to take an overall look at the contents of the information and the application value of the various c omponents of bond holding-period returns. Secondly, the thesis investigated th e special characteristics of time passage and yield change effects of holding- period returns of bonds with disparate durations during circulation on the R.O .C. government bond market. Then the thesis explored the economic significance therein and setforth the significance for investment and manipulation strateg ies and strategic actions. Finally, the study attempted to find a holding-peri od return approximation that is as accurate and applicable as possible in most situations for practicians . The major conclusions of the study are as follow s: 1. When opting for investment strategies, the "buy -and-hold strategy" is superior to simply employing the "rollover strategy" an d the "market-timing rollover strategy" is preferable to simply adopting the " rollover strategy". The "buy-and-hold strategy" is not necessarily better than the "market-timing rollover strategy". Right after bonds have been issued, th e "market-timing rollover strategy" is more effective than the "buy-and-hold s trategy". After bonds have been issued and in circulation for a period of tim e, the "buy-and-hold strategy" is superior to the "market-timing rollover stra tegy". 2. With regard to the logic of manipu lation strategy, long-term investments are advantageous to short-term investme nts. Mastering the short lines of the crests and valley of turnover is better than looking for wave-band quotations. Long-term bonds are more suitable for a ctive manipulation than short-term ones. When trends contradict each other (i. e. as time passages ) , investors must choose between changing manipulation ta rgets and changing investment strategies. 3. Both empirical and simul ated results confirm that Method 1 really is a better approximation and is mor e applicable for practicians than Method 2.
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Chen, Ping-Ruei, and 陳秉睿. "The Effect of Assets Portfolio Return with Portfolio Concentration and Length of Holding Period - Monte Carlo Simulation Analysis." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/62828704651955919215.
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碩士銘傳大學
風險管理與保險學系碩士班
99
Taiwan''s saucer-shallow economic scale is easily affected by external events, the optimization of portfolio concentration and holding period remains an interesting issue. This research chooses the eight business stock index of Taiwan''s stock market as studied materials during the 11th and 12th business cycles, and tries to create an optimized investment strategy with low risk and good performance. This research firstly used Sharpe ratio to rank the performance and construct investment portfolio of eight business stock index with historical data. The consistency between risky assets and the hypothesis of GBM was verified, then Ito’s Lemma was followed and Monte Carlo simulation was selected to simulate the assets portfolio return. Analytical results demonstrated that the optimal concentration assets are eight assets for varied confidence intervals and constraints. If the risky indicator could be standard deviation of cumulative portfolios return, the optimal holding period is 41-45 months for 90 percentile; 37-41 months for 95 percentile. Combing Sharpe ratio, Monte Carlo simulation could be a useful uncertainty analysis tool to assets portfolio.
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Jhan, Jhin-Hua, and 詹芷樺. "A Study on the Relationship among Corporate Governance , Holding Period Return and Corporate Performance - Evidence from Companies received by ''Corporate Governance Evaluation System'&apos." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/k8m293.
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碩士國立虎尾科技大學
財務金融研究所
102
During economic downturns, enhancing corporation’s conditions by well corporate governance is needed and it could see the quality and monitoring effect more. Therefore, this study added the period of financial tsunami to conduct the research; the period is from January 30th, 2008 to December 31st, 2012, it is quarterly data, there are a total of 480 observed values and the data source comes from Taiwan Economic Journal (TEJ database). Research objects are listed companies that have been granted the certificate of “corporate governance evaluation system” by Taiwan Corporate Governance Association; after getting rid of companies that don’t have complete data, this research has filtrated a total of 20 companies as research objects. Using SPSS. ver. 20 to conduct empirical analysis like descriptive statistical analysis, Pearson correlation coefficient analysis, two-Sample t test and stepwise regression…etc. This study explored that well corporate governance would affects company’s operational performance and holding period return. Empirical results: (1) major shareholders’ share holding rate has significant positive effect to the operational performance (2) managers’ share holding rate has significant positive effect to the operational performance (3) seats of directors and supervisors has significant positive effect to the operational performance (4) pledge of directors and supervisors has significant negative effect to the operational performance (5) president and general manager has significant positive effect to the operational performance. Keywords: Corporate governance , Holding Period Return , Corporate Performance
Books on the topic "Holding Period Return"
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Lewis, Karen K. Should the holding period matter for the intertemporal consumption-based CAPM? Cambridge, MA: National Bureau of Economic Research, 1991.
Find full textBook chapters on the topic "Holding Period Return"
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Al Janabi, Mazin A. M. "Evaluation of Optimum and Coherent Economic-Capital Portfolios Under Complex Market Prospects." In Handbook of Research on Big Data Clustering and Machine Learning, 214–30. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0106-1.ch011.
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This chapter examines the performance of liquidity-adjusted risk modeling in obtaining optimum and coherent economic-capital structures, subject to meaningful operational and financial constraints as specified by the portfolio manager. Specifically, the chapter proposes a robust approach to optimum economic-capital allocation in a liquidity-adjusted value at risk (L-VaR) framework. This chapter expands previous approaches by explicitly modeling the liquidation of trading portfolios, over the holding period, with the aid of an appropriate scaling of the multiple-assets' L-VaR matrix along with GARCH-M technique to forecast conditional volatility and expected return. Moreover, in this chapter, the authors develop a dynamic nonlinear portfolio selection model and an optimization algorithm, which allocates both economic-capital and trading assets by minimizing L-VaR objective function. The empirical results strongly confirm the importance of enforcing financially and operationally meaningful nonlinear and dynamic constraints, when they are available, on the L-VaR optimization procedure.
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Fishwick, Edward. "The information horizon—optimal holding period, strategy aggression and model combination in a multi-horizon framework." In Forecasting Expected Returns in the Financial Markets, 215–26. Elsevier, 2007. http://dx.doi.org/10.1016/b978-075068321-0.50011-x.
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Schaub, Mark, and Garland Simmons. "Contributing Factors of Long-Term ADR Holding Period Returns: an Up-To-Date Analysis." In Research in Finance, 145–66. Emerald Publishing Limited, 2020. http://dx.doi.org/10.1108/s0196-382120200000036006.
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Çekiç, Ayşegül İşcanoğlu, and Havva Gültekin. "Macroeconomic Suprises and the Turkish Financial Market." In Applied Econometric Analysis, 60–88. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-1093-3.ch004.
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In the study, the authors investigate the impacts of macroeconomic news originating from Turkey, US, Euro Zone, and China on the Turkish financial market. They consider Purchasing Managers Indices and Gross Domestic Product growth rates as macroeconomic news. The study covers the period from May 4, 2015 to January 1, 2019, and six sectoral indices are included into the analysis. The findings show that impacts of macroeconomic surprises on abnormal returns are significant for all the sectors except Holdings and Investments and Insurance. The authors also provide evidence that the impacts of macroeconomic surprises on volatilities are significant for only Holdings and Investments and Technology.
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Atkinson, Lucy, Andrew Blick, and Matt Qvortrup. "Reform and Europe." In The Referendum in Britain, 133–200. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780198823612.003.0004.
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No referendums took place between 1979 and 1997. During much of the 1980s the idea of using this device failed to attract the level of interest it had in some earlier periods. But, in the following decade, the referendum began to gain currency once more. After Labour returned to office in 1997, the Tony Blair administration became the most extensive utilizer of the mechanism to date, holding five in total (though none at UK level). Reflecting the establishment of the referendum as a firmer part of the UK constitution, a more consistent framework for this practice was introduced. After 2004, the Labour governments did not use referendums again. However, the device returned from 2011. During the tenure of David Cameron, as Prime Minister in a coalition (2010–2015) and then a Conservative administration (2015–2016), four referendums were held.
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"Keep reading and you’ll understand." In Stirring the Pot of Haitian History, edited by Mariana Past and Benjamin Hebblethwaite, 21–38. Liverpool University Press, 2021. http://dx.doi.org/10.3828/liverpool/9781800859678.003.0003.
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In this chapter Trouillot cross-examines received understandings of Haitian history among the minority of the population that has had the opportunity to attend school. References to folkloric characters in the text disappear, and Ti difé boulé sou istoua Ayiti turns to an analysis of the divisions in social classes during the period of French colonization in Saint-Domingue, portraying the complex and conflicting coalitions of wealthy colonists, black and mulatto freedmen, whites and enslaved people. Each coalition contained its own hidden contradictions and differing priorities: among the enslaved there were domestic slaves, skilled urban slaves, overseers and field laborers. Power-holding wealthy plantation owners and French commissioners exploited racism to draw middle class and lower-class whites into their conspiracy. This chapter establishes the major axes of Saint-Domingue’s organization: the large plantations, slavery, sugarcane monoculture and dependency on France. Trouillot shows that the revolutionary leaders were enslaved people at the top of their social class. Many of them had known forms of freedom, responsibility, leadership and political experience. This political acumen placed those enslaved people and freedmen in a position to seize the reins of power. The powerful plantation owners, commissioners and the military were able to retain dominance providing their coalition remained intact. The white coalition of local plantation owners and the French commissioners underwent a bitter split, opening the way for the enslaved population to rise up and fight for freedom.
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Juo, Anthony S. R., and Kathrin Franzluebbers. "Soil Fertility." In Tropical Soils. Oxford University Press, 2003. http://dx.doi.org/10.1093/oso/9780195115987.003.0009.
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In the natural world, plant species evolve and adapt to specific soil and climatic conditions. The productivity and stability of a natural soil-plant continuum or ecosystem are maintained through diversity, succession, and internal nutrient cycling. Hence, there are no rich soils or poor soils but different soils supporting different ecosystems. From an agricultural viewpoint, however, the term soil fertility may be defined as the capacity of a soil, under a given rainfall or water management regime, to support the growth of common food and fiber crops with minimum or no external inputs for a long period of time without adversely degrading the chemical, physical, and biological properties of the soil. Thus, a naturally fertile or productive soil usually possesses the following features: • good soil tilth or workability • adequate organic matter content in the surface layer • adequate permeability • adequate available water-holding capacity • slightly acidic to neutral pH • loamy-textured topsoil • moderate amounts of smectite and weatherable minerals Worldwide, the most fertile soils are prairie soils derived from glacial till, young alluvial soils in river valleys and deltas and high-base-status volcanic ash soils. These soils are also known as Mollisols, high-base-status Entisols and high-base- status Andisols, respectively, according to the Soil Taxonomy classification. At the other end of the scale are the so-called infertile soils. These are the highly weathered and strongly leached soils or “lateritic soils” of the tropics. Ultisols and Oxisols rich in kaolinite and Fe and Al oxides fall into this category. The soil fertility status of other types of soils falls in between these two groups. In general, parent material and stage of weathering are good indicators of soil fertility. Moderately weathered soils derived from basic parent rocks such as basalts and limestone and recent alluvial deposits are invariably more fertile than those derived from acidic parent rocks such as sandstone, quartzite, and coarse-grained granite. Strongly weathered soils generally have a low fertility because primary minerals containing plant nutrients such as Ca, Mg, and K have long disappeared through dissolution, acidification, and leaching. The dominant clay-size minerals in strongly weathered soils, kaolinite and Fe and Al oxides, possess little capacity to retain these cations.
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"Cousin that’s not what you told me." In Stirring the Pot of Haitian History, edited by Mariana Past and Benjamin Hebblethwaite, 119–70. Liverpool University Press, 2021. http://dx.doi.org/10.3828/liverpool/9781800859678.003.0007.
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This final chapter opens with Toussaint Louverture in Santo Domingo in 1802, preoccupied with the possibility of a new French invasion. In February, General Leclerc invaded Cape Haitian in the north; Toussaint was captured by French troops and taken to France as prisoner. Although his demise occurred for various reasons, most problematic are the tactics he embraced during the period of 1793-1799, wherein he neglected the interests of the former enslaved people and instead allied himself with the upper class and military interests. The rallying cry of “freedom for all” for the population of the former French colony did not imply that formerly enslaved masses could enjoy autonomy or freely cultivate edible crops on their own properties. While not all rebel leaders fit into the same social category, they did have different interests than the former slaves. Trouillot reminds readers that a true revolution produces profound social changes, inverting the old social order; and thus formerly-enslaved people should have all become property owners. However, the competing revolutionary leaders (including Rigaud, Beauvais, and Toussaint) stunted this possibility, neglecting the needs of the poor majority. It was chiefly the economic aspect of independence that divided Toussaint from the masses. After taking control of the former colony, Toussaint imposed import and export taxes that benefited European countries and the United States instead of Haitians; U.S.-built warehouses popped up on the capital’s wharf, and Saint-Domingue remained economically dependent. The former slaves benefited in no way from growing the sugar, coffee or cotton that they were required to produce during Toussaint’s reign; they were punished for planting food crops. Worse still, Toussaint required that the ex-slaves “respect” the integrity of former plantations by staying and working on them, while he distributed free land to rebel officers. The idea of “freedom” thus lost its resonance amongst the masses. Although members of the State of Saint-Domingue and the ruling class gained economically, it was at the expense of the former enslaved workers. From this point, the behavior of the Haitian State was that of sitting heavily upon the new nation, since their economic and political interests were at odds with one another. A host of contradictions emerged: Dependence/ Independence, Plantations/Small Farms, Commodity/Food crops, White/Black, Mulatto/Black, Mulatto/White, Catholic/Vodou, and French/Creole. Although the Constitution of 1801 abolished slavery and supposedly “guaranteed freedom” to all, it reinforced these fundamental contradictions. The “Moyse Affair” in late 1801 illustrates Trouillot’s understanding of Toussaint’s betrayal of the Haitian people. Moyse, Toussaint’s adopted nephew, had populist political ideas that attracted the black masses. Fearing his potentially subversive ambitions, Toussaint had Moyse judged by a military commission that included Christophe, Vernet, and Pageaux. Moyse was condemned to death and executed, effectively crushing the interests of the masses. Throughout the Revolution Toussaint maintained power by crafting coalitions amongst a wide variety of social classes and competing interests. The dominance of the new military class was a social contradiction that had to be masked, and Toussaint’s actions showed a will to conceal it. Aspects of this problematic behavior and ideology have reappeared in Haiti under Dessalines, Christophe, Salomon, Estimé, Duvalier and others. Official discourse is grounded in several central notions that are easily manipulated by Haitian leaders: first, the notion of “family,” allowing the concealed dominance of one group and the privileging the organized Catholic religion; second, the idea that Haitians should “respect property”; and, the myth of nèg kapab (“capable people”) who possess an inherent right to govern and oppress the people. The political concept of “family,” common throughout Africa and countries with African descendants, was employed by Toussaint as a form of social control: throughout the revolution Toussaint refers to the new Haitian society as a family in order to advance his own “paternal” political objectives and conceal its many contradictions. The state—which his ideology came to epitomize—began to take advantage of the people; it was akin to a vèvè, a matrix holding society together, and a Gordian knot, where complex and twisted socio-economic contradictions favoring a certain class were inscribed. Although Toussaint was kidnapped by the invasion of Leclerc in 1802, this motivated the Haitian masses to stand up and fight for independence from France, which ultimately led to freedom. Thus, living up to the surname of “Louverture” that was given him, Toussaint indeed opened the barrier to independence and warrants appreciation for that. When one revisits the ideology of Toussaint Louverture, and concurrently that of the state of Saint-Domingue, one must not forget that, in spite of all its weaknesses, libèté jénéral (“freedom for all”, or “universal freedom” in today’s terms) was originally a powerful unifying factor, which merits recognition: it helped Toussaint’s troops defeat the British, crush Hédouville, etc. Toussaint was betrayed by plantation owners and French and American commissioners alike, and he always maintained some faith in France, even if the masses did not. Trouillot implies that Toussaint understood the direction in which he wanted to go, but he got lost on the way. To his credit, Toussaint’s experience demonstrated that liberty without political independence was a senseless notion, and others (such as Dessalines) were able to break with his approach and capitalize on this lesson. The book closes with Grinn Prominnin declaring that he is exhausted and that everyone must return to discuss the situation tomorrow to reach a conclusion. The scene remains peaceful, the people complacent. Trouillot suggests that, more than 170 years after the revolution, the task of bringing about real social change in Haiti—and seeing the ambitions of the Revolution fulfilled—remains starkly inert. Readers easily infer that Haiti’s stagnant socio-economic and political situation (in 1977) is due not only to the as yet unfulfilled promises of the Revolution and War for Independence, but also to the escalating damages wreaked upon the Haitian nation by the Duvalier regime and its manipulative cronyism coupled with its totalitarian indigenist ideology.
Conference papers on the topic "Holding Period Return"
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"Holding Periods and Investment Performance: Analysing Office Returns." In 2005 European Real Estate Society conference in association with the International Real Estate Society: ERES Conference 2005. ERES, 2005. http://dx.doi.org/10.15396/eres2005_179.
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Aro, Dustin, and Steven Fowler. "Turning Produced Water into an Asset: A Delaware Basin Case History." In SPE Hydraulic Fracturing Technology Conference and Exhibition. SPE, 2021. http://dx.doi.org/10.2118/204166-ms.
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Abstract The Delaware Basin encompasses 6.4 million acres throughout Southeastern New Mexico and West Texas. With large players such as ExxonMobil, Shell or Oxy typically grabbing headlines, it's easy to forget the multitude of smaller public and private E&P operators who exist in and around the acreage positions of the aforementioned companies. Regardless of the size of the acreage holding, a consistent theme is that a typical horizontal well drilled and completed (D&C) will yield water cuts of 60-90% at any given period in its productive lifespan. Saltwater production, handling and disposal (SWD) is a drag on lease operating expenses (LOE). SWD costs via trucking, pipeline, or on-lease SWD wells can range between $0.50-$3.00/bbl. As existing infrastructure is exhausted, water handling costs have been projected to rise to over $5.00/bbl. Additionally, restricted access to SWD could cause production curtailments and thus impacting operators beyond direct LOE.1 Well completion operations are impacted by freshwater procurement costs starting around $0.75/bbl. Regardless of final frac design, water consumption during fracturing operations typically exceeds 500,000 bbls or $375,000 per well. Significant value exists for recycling produced water via an on-lease pit and utilizing it for future frac operations. The produced water turns into an asset if the operator can efficiently manage to substitute higher and higher percentages of freshwater with produced water. Many smaller operators (defined as less than 50,000 acres) may view produced water recycling as an operation best left to large E&P's with their massive capital budgets and contiguous acreage. Fortunately, even a 5 well, section development plan can yield returns from an on-lease produced water recycling program.
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Ludvigsen, Arild, and Zhi Yuan Pan. "Extensions and Improvements to the Solutions for Linear Tank Dynamics." In ASME 2015 34th International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/omae2015-41805.
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Linear solvers for the flow exterior to the hull may be used to solve for the fluid dynamics also in the interior of a tank, as discussed in Newman (2005) and Ludvigsen et al. (2013). This introduces extra, erroneous terms in the radiation part of the pressure in the tank, but due to cancellation in restoring and radiation terms, the total representation of the pressure and the global response is correctly obtained. For some kinds of analysis, specific knowledge is needed of the radiation and restoring parts separately. The cancellation of the extra terms can then not be utilized. Examples of this are stability analysis and eigenvalue analysis. In stability analysis we need to know the actual real global restoring coefficients. In eigenvalue analysis, we should have the separately correct representations of the added mass and restoring coefficients, respectively, to be able to conveniently use them as input to standard eigenvalue solvers. Here, we develop the expressions for the corrected, actual terms of the total added mass and restoring coefficients for tanks. This is used in our computer program for performing eigenvalue analysis. Results for peak global response and natural periods of the structure with the influence of tank dynamics are presented. Comparisons are made with results obtained by a quasi-static method for an FPSO and a ship with more largely extensive tanks. For a completely filled tank, the boundary value problem (BVP) for the velocity potential is reduced to Laplace equation in the fluid domain, subject to a Neuman condition on the fixed boundary and it is not closed. The extra condition of having zero pressure at some point in the tank is then added. Direct re-use of the BVP solver for the external flow, gives an undetermined set of linear equations for the velocity potential in the tank fluid. A typical solver for sets of linear equations may still return a solution, but this will contain a random undetermined constant. After imposing zero pressure in the top of the tank, this solution is still unstable, contaminated by numerical noise. An improved method is introduced by imposing algebraically, in the equation system, the constraint of zero pressure in the top of the tank. This gives a non-singular equation system with a stable solution holding zero pressure in some selected point in the tank.