Holding Periods Research Articles

Influence of Different Previous Frozen Holding Periods on the Canned Fish Quality.

The combined effects of thermal processing (i.e., sterilisation treatment) and the prior frozen storage time (3 or 6 months at -18 °C) on the quality loss in canned Atlantic horse mackerel (Trachurus trachurus) were determined. Thus, the sterilisation step led to a remarkable (p < 0.05) formation in the canned fish muscle of fluorescent compounds, free fatty acids (FFAs), and trimethylamine and an increase in the L* and b* colour parameters; meanwhile, a decrease (p < 0.05) in the total ω3 FA/total ω6 FA ratio and the a* colour value were detected. The prior frozen storage period led to an increased (p < 0.05) lipid oxidation (peroxide, thiobarbituric acid reactive substance, and fluorescent compound formation) and hydrolysis (FFA formation) development and to increased L* and b* colour values in the corresponding canned samples; additionally, a lower (p < 0.05) polyene index and phospholipid content were observed in canned fish previously subjected to frozen storage. In most indices, physico-chemical changes related to quality loss were found to be higher if the previous storage period was increased. According to the marked effects of the sterilisation step and the prior frozen storage period, the optimisation of such processing conditions is recommended to maximise the quality of canned horse mackerel.

A Study of Islamic Portfolio Diversification Opportunities for Investors of Pakistan in various stock holding periods

This study attempts to find out the possible opportunities for the investors of Pakistan Islamic market to maximize the benefits of divergence. Dow Jones Islamic market returns (DJIMR) of four different regions named as Dow Jones Islamic Americas, Dow Jones Islamic European, Dow Jones Islamic Asian Pacific and Dow Jones Islamic Middle East and North Africa Regions across the Pakistan Karachi Meezan Index-30 have been used to capture the approach of diversification benefits. According to objectives, Multivariate GARCH— Dynamic Conditional Correlation (DCC) model is applied and it is suggested that local investors of Pakistan should prefer to invest in Asian pacific region, then to Americas region and further Middle East and North Africa region and least preference should be given to European region to maximize benefits from diversification. In order to capture the change in diversification benefits during various stock holding horizons, Continuous wavelet transformation- CWT is applied and results have indicated insignificant relationship/correlation between two markets (local and international markets of all regions) for short period of holdings rather medium and long term holdings period. Indeed, this study has focused on advance concept of incorporating the role of stock holding horizons while determining the benefits of diversification which has greater implications in the field of portfolio diversification

Optimal Holding Period of an Investment Property Under Different Systems of Income Taxation – An Individual Investor’s Perspective

Abstract Taxes, particularly income tax, may affect how long investors decide to hold on to an investment property. There exists a research gap regarding the implications of a distributed profit-based taxation system for the holding period of an investment asset. As a distributed profit-based taxation system allows investors to postpone income tax liability, it creates an advantage for investors operating under such a system compared to investors operating under other systems of income taxation. In this paper we model optimal holding periods under different systems of income taxation using a specific type of discounted cash flow model. We show that, theoretically, under the distributed profit taxation system, an optimal holding period for an investment property for an individual investor is the longest (ceteris paribus). This is in concordance with the circumstance that the after-tax value of the property for the investor is highest under the distributed profit taxation system. The results suggest that investment and property development projects under distributed profit taxation are not to be treated in the same way as projects under other tax systems with respect to time. Limitations of the study are related to the deterministic setting of the model as well as some restrictive assumptions.

Practical Applications of Prolonged Private Equity Holding Periods: Six Years is the New Normal

AIM--To determine whether there are characteristic immunohistological changes in the colonic mucosa in acute graft versus host disease (GvHD). METHODS--Consecutive allogeneic (n = 11) and autologous (n = 11) bone marrow transplant recipients underwent endoscopic biopsy of sigmoid mucosa before transplant and on day 30 post-transplant. Immunohistochemical staining and quantitation of intraepithelial and lamina propria mononuclear cells were undertaken using a panel of monoclonal antibodies and a Streptavidin-biotin alkaline phosphatase staining technique. RESULTS--In the allogeneic group (nine of whom had clinical acute GvHD) there was a fivefold increase in lamina propria CD16+ mononuclear cells (3.1 +/- 4.3 to 17.0 +/- 12.2 per 100 lamina propria nucleated cells), compared with autologous transplant recipients in whom this rise was twofold (5.5 +/- 4.6 to 10.6 +/- 7.1 per 100 lamina propria nucleated cells). The CD16+ mononuclear cells had morphological appearances of tissue macrophages, but in neither the allogeneic nor autologous groups was there an increase in total macrophage numbers (CD14+). In patients with acute GvHD the lamina propria CD4+:CD8+ lymphocyte ratio fell (1.97 +/- 1.12 to 1.07 +/- 1.01), primarily because of a fall in the number of lamina propria CD4+ lymphocytes. In both allogeneic and autologous groups there was a fall in intraepithelial lymphocyte numbers, but there was no change in CD19+ (B cell), CD25+ (interleukin-2 receptor positive) or CD56+ (natural killer) cell numbers. CONCLUSION--Following bone marrow transplantation, there appears to be upregulation of lamina propria tissue macrophage CD16 (an Fc receptor for IgG), a change which is more noticeable after allogeneic transplantation and which may be related to the development of acute GvHD. In patients with acute GvHD there was a fall in the lamina propria CD4+:CD8+ lymphocyte ratio. If these changes are functionally important, they may have significant implications for understanding the pathogenesis of GvHD.

Effect of holding periods at normalization temperature on formation of various phases, precipitates, hardness of reduced activation and ferritic-martensitic steels

Heat treatment is an operation or combination of operations involving heating at a specific rate, soaking at a temperature for a period of time and cooling at some specified rate. The aim is to obtain a desired microstructure to achieve certain predetermined properties (physical, mechanical, magnetic or electrical). In the present work, the effect of holding periods on precipitates and microstructure at Normalization temperature of Reduced Activation and Ferritic Martensitic steel is to carry out. Heat treatment was carried out with different normalization holding periods i.e. 10, 20 and 30 min followed by air cooling and water quenching to know the effect of Holding period on formation of various phases, changes in grain sizes, hardness values and formation of precipitates i.e. M23C6 and MX precipitates. Optical and Scanning Electron Microscopy characterization studies are performed to the steel to confirm quantity of Ferrite, martensite phases present and also to evaluate the quantity of various precipitates exist in steel during different stages of heat treatment studies respectively.

주간사와 기관투자자간의 거래관계와 IPO 주식의 보유기간

주간사와 기관투자자간의 거래관계와 IPO 주식의 보유기간

Prolonged Private Equity Holding Periods: Six Years is the New Normal

The high internal rates of return sought by private equity funds are highly sensitive to portfolio company holding periods. We examine a sample of 2,328 European buyouts for which detailed financial statement data is available for controls. Our results establish that the average holding period has lengthened from an average of 4.7 years before the financial crisis to 5.8 years after the crisis. What explains this fact? We examine several potential explanations. We rule out that the increase is fully driven by changes in exit markets. Changes towards longer-term value-creation mechanisms, and increased PE market competition are possible explanations.

Study of the consumption of the additive prop-1-ene-1,3-sultone in Li[Ni0.33Mn0.33Co0.33]O2/graphite pouch cells and evidence of positive-negative electrode interaction

The consumption of the additive prop-1-ene-1,3-sultone (PES) in Li[Ni0.33Mn0.33Co0.33]O2/graphite (NMC(111)/graphite) pouch cells during the first cycle and after hold periods at different cell potentials was measured using gas chromatography coupled with mass spectrometry (GC-MS). GC-MS measurements of the electrolyte of NMC(111)/graphite pouch cells during the first charge showed that the amount of PES consumed, and the cell impedance, increased with increasing starting concentration up to a starting concentration of 5 wt% and then seemed to slow down at higher starting concentration. Additive consumption measurements after holding periods showed that PES is consumed in measurable amounts at the positive electrode, suggesting that PES oxidizes at potentials as low as 4.27 V vs. Li/Li+ on the NMC(111) surface. Electrochemical impedance spectroscopy on symmetric cells as well as X-ray photoelectron spectroscopy of electrodes salvaged from NMC(111)/graphite cells after hold periods at various cell potentials strongly support the existence of a positive-negative electrode interaction.

Impact of Capital Gains Taxation on the Holding Period of Investments Under Different Tax Systems

Investments with exit flexibility require decisions regarding both the Investment and holding period. Because selling an investment often leads to taxable capital gains, which crucially depend on the duration of an investment, we investigate the impact of capital gains taxation on exit timing under different tax systems. We observed that capital gains taxation delays exit decisions but loses its decision relevance for very long holdings. Often the optimal exit time, which indicates the maximal present value of future cashflows, cannot be determined analytically. However, we identify the breakeven exit time that guarantees present values exceeding those of an immediate sale. While, after-taxes, an immediate sale is often optimal, long holding periods might also be attractive for investors depending on the degree of income and corporate tax integration. A classic corporate tax system often indicates holdings over more than 100 periods. By contrast, a shareholder relief system indicates the earliest breakeven exit time and thus the highest level of exit timing flexibility. Surprisingly, high retention rates are likely to accelerate sales under a classic corporate system. Additionally, the worst exit time, which should be avoided by investors, differs tremendously across tax systems. For an integrated tax system with full imputation, the worst time is reached earlier than under partial or non-integrated systems. These results could help to predict investors’ behavior regarding changes in capital gains taxation and thus are of interest for both investors and tax policymakers. Furthermore, the results emphasize the need to control for the underlying tax system in cross-country empirical studies.

Currency Risk Premium, Interest Rate Differentials, and the Holding Period

Conducting a Beveridge-Nelson decomposition on exchange rates reveals that the prospective interest rate differential -- the expected infinite sum of future interest rate differentials (i.e., the prospective'') -- can help predict foreign exchange market excess returns. We find that the prospective is even more negatively correlated with excess returns than interest rate differential, implying a more profitable trading strategy and further deepening the forward premium puzzle. Moreover, relative to the U.S. dollar, foreign currencies with higher interest rates, on average, turn from more risky to less risky over cumulative holding periods (i.e., a level'' effect). However, foreign currencies with higher interest rates remain more risky than foreign currencies with lower interest rates in the cross section (a slope'' effect). These level and slope effects further deepen the puzzle raised in Engel (2011) and impose more challenges on extant asset pricing models.

The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio

Purpose:The purpose of this paper is to exhibit the impacts of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio. Methodology/approach: We use a Monte Carlo simulation framework to simulate a real estate assets cash-flows in which lease structures (rents indexation patterns overall lease duration and break options) are explicitly taken into account. We assume that a tenant exercises his/her option to break a lease if the rent paid as higher than the market rental value of similar properties. We also model vacancy duration stochastically using Poisson's law. Finally capital values and market rental values are simulated using specific stochastic processes. and are also assumed to be correlated. We derive the optimal holding period for the asset as the value that maximises its discounted value which is the sum of the discounted free cash flows and the discounted terminal. Findings: We demonstrate that. consistent with existing capital markets literature and real estate business practice, break-options in leases can dramatically alter optimal holding periods for real estate assets and portfolios by extension. We show that, everything else being equal, shorter lease durations, higher market rental value volatility, increasing negative rental reversion, higher vacancy duration, more break options all tend to decrease the optimal holding period of a real estate asset. The converse is also true. Practical implications:Practitioners are insights as well as a practical methodology for determining the ex-ante optimal holding period for an asset or a portfolio based on a number of market and asset specific parameters including the lease structure. Originality/value: The originality of the paper derives from taking an explicit modelling approach to lease duration and lease breaks as additional sources of asset specific risk alongside market risk. This is critical in real estate portfolio management because such specific risk is usually difficult to diversify.

Investment Strategies of Different Holding Periods: Evidence from Stock Markets of Hong Kong, Korea, Shanghai, and Taiwan

Although there is abundant research focusing on estimating the level of returns on stock market, there is a lack of studies examining the comparison of stock return movements for short-term and long-term investment in the Asian stock market. The present study examines return on investment of different holding periods among selected stock markets in Asia. Based on the trading performance of key indices and market capitalization value, Korean Stock Exchange (KRE), Shanghai Stock Exchange (SSE), Hong Kong Stock Exchange (HKSE), and Taiwan Stock Exchange (TWSE) were selected for this study. In assessing the comparative output of the case stock markets, this study used ANOVA and post-hoc analysis to process time series data of daily, monthly, quarterly, semiannually and annually return of investments of indices of the case stock markets. The results of this study showed that there are significant differences in return on investment among the case stock markets in the given holding periods. While a country might have a higher return in short-term investment, it may not necessarily be suitable for long-term investment as evidenced by their performance from 2001 to 2012.

FAKTOR PENENTU HOLDING PERIOD SAHAM LQ-45 DI BURSA EFEK INDONESIA

Holding periods is the period of time during which one owns a security. In addition, holding period is influenced by transaction cost, market value, and risk. The objective of this research is to analyze the effect of bid-ask spread, market value, and variance return on holding period. The analysis of the data was done by multiple regression analysis. Using the data from 34 companies in LQ-45 index period 2010-2011, the results show that market value has positive effect and variance return has negative effect on holding periods. The results also show that Bid-Ask spread has no significant effect on holding periods. Investors will hold long position on securities that having higher market value and short position on securities that having higher risk.

The Low Volatility Anomaly in the U.S and in India – An Evaluation in Light of Different Holding Periods and Regimes

This study evaluates the existence and extent of the low volatility anomaly in a developed market, the U.S and in an emerging market, India from 2004-2012 for holding periods of 1, 3 and 4.5 years and for two sub-periods 2004-2007 and 2008-2012, by creating equally weighted decile portfolios. The results show that the low volatility anomaly exists in India but does not exist in the U.S, which is inconsistent with the hypothesis that it exists in both markets. The results obtained are statistically significant at the 5% significance level. The volatility effect is stronger during the volatile period of 2008-2012 in both markets, and when comparing low volatility Decile 1 and high volatility Decile 10 portfolios, the effect gets stronger when holding period is increased from 1 year to 3 years. The implications are that in India, low volatility stocks give higher returns, whereas in the U.S, the use of low volatility stocks to give higher returns may not be useful even during a period in which the market is characterized by uncertainty.

Forecasting Holding Periods for Leveraged ETFs Using Decay Thresholds: Theory and Applications

Due to the interplay between daily rebalancing and volatility, Leveraged Exchange Traded Funds (ETFs) may experience a cumulative return different from the product of their daily leverage ratio and the periodic index return. When the leveraged ETF’s return over a particular time frame minus the leverage ratio of the ETF multiplied by the underlying index return is negative, we refer to it as decay. The quantity of this decay is influenced by the daily leverage ratio, time, index return, and volatility. This study quantifies the tradeoffs these variables have on decay, and derives maximum holding periods given an investor's decay threshold under various volatility environments. While the majority of studies suggest short holding periods for leveraged ETFs, this paper asserts that extended holding periods can be justified depending on volatility levels and an investor's willingness to accept a certain level of decay. For decay thresholds of only -2% and low volatility levels, holding periods beyond 6 months can be justified for some leveraged funds. Empirically, forecasted decay over a 3-month period based on the Russell 1000 and using a GARCH (1, 1) volatility estimate rarely underestimates actual decay. Through 2007, the average justified holding period for all but the -3x fund generally exceeded 4 months. During the financial crisis, justified holding periods decreased dramatically.

A Disequilibrium Model of the Market for Houses: Implicit Selling Time as a Signal of Optimal Holding Periods and Buyer Valuation

A theoretical model is developed of house market disequilibrium. Price and quantity adjustments occur as the consequence of inventory adjustment in the absence of a market-maker. This approach reveals a process of dynamic adjustment whereby sellers alter their reservation prices in response to implicit time on the market as a signal of excess demand. Unobservable equilibrium house prices are estimated using time on the market and house price data for Glasgow between 1999 and 2007. Empirical estimation models sellers’ reservation price response to the overhang of unsold houses and the excess demand curve within an econometric framework.

Evaluation of the properties of components prepared and stored after holding of whole blood units for 8 and 24 hours at ambient temperature

The capability of holding whole blood (WB) units at ambient temperature, overnight, should help in platelet (PLT) concentrate preparation logistics. We summarize the results of a study conducted in the early 1990s that compared, in particular, PLT and red blood cell (RBC) in vivo viability properties following storage after preparation after 8- and 24-hour WB hold periods. Individuals donated units of WB on two occasions. Centrifugation at 20 to 24°C to separate PLTs and additive system RBC placement at 1 to 6°C was completed 8 hours after phlebotomy or after 24 hours in randomized order. Components were not leukoreduced. Studies including in vitro biochemical and hematologic analyses and autologous in vivo RBC and PLT evaluations were conducted at two sites. RBC 24-hour in vivo (mean ± SD) recoveries (single-label approach), after 35 days of storage, were 79.2 ± 4.3 and 79.4 ± 3.9% (n = 9; p > 0.05), with WB holding periods of 8 and 24 hours, respectively. With 42 days of storage, recovery after a 24-hour hold was slightly less than with an 8-hour hold (72.9 ± 6.5% vs. 76.0 ± 5.4%; n = 17; p < 0.05). RBC 2,3-diphosphoglycerate acid levels were substantially less after the 24-hour hold compared to after the 8-hour hold (n = 18; p < 0.05). PLT recovery after 5 days of storage with 8- and 24-hour hold periods were similar, 51.1 ± 14.9 and 50.6 ± 17.7%, respectively (n = 18; p > 0.05). The PLT survival variable and in vitro properties reflecting storage quality also showed no significant difference. RBC and PLT in vivo variables, and most in vitro variables, were not significantly different after storage with WB holding times of 8 and 24 hours except for a slight diminution of RBC recovery with the 24-hour hold after 42 days of storage.

Influence of Energy Restriction and Pre-incubation Holding Period of Eggs on Fertility and Hatchability in Aged Broiler Breeders

The effects of controlled energy restriction and duration of pre-incubation egg holding on fertility, hatchability and hatch losses were evaluated in aged broiler breeders (64 wk). The energy (ME) required for maintenance, activity, growth and anticipated egg production was calculated and offered to a control group (283-471 kcal/kg) from 21-64 weeks of age. In three other groups, ME was quantitatively reduced either by 20% (SER; severe energy restriction) or 10% (MER; moderate energy restriction) and increased by 10% (EEF; excess energy feeding) over the control group (CER; controlled energy restriction). Each diet was offered to 130 pullets in individual cages, and the quantity of ME increased with age. At the end of 64 weeks, fertile eggs were collected from each dietary group for 11 consecutive days and grouped under 4 holding periods based on the length of storage (2, 5, 8 or I 1 d). The influence of energy regimes, egg holding intervals and their interaction was evaluated on fertility, hatch losses and hatchability. Broiler breeders maintained on SER regime (231-419 kcal/d) produced maximum number of eggs (993) followed by MER (819), CER (624) and EEF (438) during the 11-day period. The percent fertility and hatchability was significantly (p<0.05) higher in SER and MER groups compared to CER and EEF. However, energy regimes did not influence the loss in egg weight during pre-incubation storage, shell weight, shell thickness or hatch losses as dead germs and dead in shell. The improvement in hatchability in SER and MER groups appeared to be closely related to higher fertility and lower embryonic mortality. Holding of eggs for 11 days showed a linear loss in egg weight with the length of storage, but did not influence the fertility and hatch losses. The percent hatchability on eggs set was maximum when storage period was restricted to 5 days. The interaction between energy regimes and egg holding periods exhibited better hatchability results with SER regime when eggs were held for 5 days. Response to MER was not different from SER. It was obvious that energy restriction during production period had a positive influence on egg number, fertility and hatchability in aged breeders. At 64 weeks of age, holding of fertile eggs for 5 days prior to incubation was adequate for optimum hatchability in breeders.

Theoretical-experimental model for predicting crack growth rate in structural alloys under combined action of fatigue and creep

Holding periods of 300 and 3600 s in a trapezoidal load cycle are shown to increase the crack growth rate dozens of times for alloy ÉP962 and several-fold for alloy ÉP742 at a temperature of 973 K. It is demonstrated that in the presence of the first portion on the creep crack growth diagram, whereon the crack growth rate decreases, the crack growth kinetics for a trapezoidal load cycle can be predicted using the hypothesis of the linear summation of fatigue and creep crack growth rates provided that the peculiarities of the first portion of the creep crack growth diagram are taken into account. Empirical approaches are proposed for determining the mean crack velocity in the first portion of the creep crack growth diagram.

Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period

We use data on actual holding periods for all investors in a stock market over a 10 year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown to be important determinants of the holding period decision of individual investors. We also find evidence that the average holding period is different for different investor groups. Interestingly, we find that turnover is an imperfect proxy for holding period. Moreover, while both turnover and spread are related to stock returns, holding period is not. Our results suggest that the link between liquidity and asset prices found in numerous empirical studies cannot be explained by models such as Amihud and Mendelson (1986) where investors merely want to be compensated for exogenous trading costs.