Rate of Return under Re-Capitalisation: A Note

• Main Authors: Ariff, M., Lim, Kian Guan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1988
• Subjects: Business
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2238; https://doi.org/10.1007/bf01732255
• Institution: Singapore Management University

Conclusion The measure in (6) is suggested as the most appropriate measure when n is over a month or so for it explicitly takes into account time value. For small n (e.g. daily returns), we can assume k=0, n=1, and therefore, the time value is not an issue and we can simplify (6) as: $$1 + R_{t + 1} = {{[P_{t + 1} \{ 1 + ({1 \mathord{\left/ {\vphantom {1 N}} \right. \kern-\nulldelimiterspace} N})\} + D_{t + 1} ]} \mathord{\left/ {\vphantom {{[P_{t + 1} \{ 1 + ({1 \mathord{\left/ {\vphantom {1 N}} \right. \kern-\nulldelimiterspace} N})\} + D_{t + 1} ]} {[P_t ({I \mathord{\left/ {\vphantom {I N}} \right. \kern-\nulldelimiterspace} N})]}}} \right. \kern-\nulldelimiterspace} {[P_t ({I \mathord{\left/ {\vphantom {I N}} \right. \kern-\nulldelimiterspace} N})]}}$$ .