Begin Historic | 1 | January 1978 | |||||||
End Historic | 121 | January 1988 | |||||||
Begin Holding | 122 | February 1988 | |||||||
End Holding | 133 | January 1989 | |||||||
T-Tests in Parenthesis | |||||||||
Statistic | Mean Hist | Mean Hold | Urho Hist | Urho Hold | Mean Hist | Mean Hold | Urho Hist | Urho Hold | |
R/V | 0.0237 | 0.1035 | |||||||
(0.3790) | |||||||||
Jensen Alpha | 0.0586 | (1.6652)* | |||||||
(−0.7492) | (0.9399) | ||||||||
R/SV | 0.1010 | −0.0115 | |||||||
(1.6243) | (−0.1838) | ||||||||
R/B | 0.0396 | 0.0449 | |||||||
(0.6346) | (0.7190) | ||||||||
RISK AVERSE | RISK NEUTRAL | ||||||||
UPM0.3/LPM1.0 | 0.0013 | −0.0855 | −0.0051 | 0.0881 | UPM1.0/LPM1.0 | −0.0239 | 0.0757 | −0.0179 | 0.0996 |
(0.0216) | (−1.3729) | (−0.0819) | (1.4148) | (−0.3833) | (1.2149) | (−0.2865) | (1.6022) | ||
UPM .5/LPM2.0 | 0.0503 | −0.1598 | −0.0015 | 0.0803 | UPM2.0/LPM2.0 | −0.0449 | −0.0053 | 0.0050 | 0.1049 |
(0.8055) | (−2.5909)*** | (−0.0245) | (1.2886) | (−0.7198) | (−0.0841) | (0.0793) | (1.6873)* | ||
UPM .8/LPM3.0 | 0.1355 | 0.0297 | −0.0370 | 0.0813 | UPM3.0/LPM3.0 | −0.0540 | −0.0520 | 0.0116 | 0.1168 |
(2.1884)*** | (0.4746) | (−0.5928) | (1.3059) | (−0.8653) | (−0.8338) | (0.1856) | (1.8813)* | ||
UPM1.0/LPM4.0 | 0.0178 | −0.0745 | −0.0359 | 0.0818 | UPM4.0/LPM4.0 | 0.0600 | −0.0118 | 0.0160 | 0.1292 |
(0.2855) | (−1.1961) | (−0.5755) | (1.3131) | (0.9619) | (−0.1880) | (0.2555) | (2.0843)** | ||
PROSPECT THEORY | RISK SEEKING | ||||||||
UPM .4/LPM1.0 | 0.0844 | −0.0179 | −0.0051 | 0.0964 | UPM2.0/LPM1.0 | 0.0594 | −0.0905 | 0.0147 | 0.0999 |
(1.3560) | (−0.2858) | (−0.0823) | (1.5491) | (0.9523) | (−1.4535) | (0.2360) | (1.6064) | ||
UPM .9/LPM2.0 | 0.1103 | −0.0758 | −0.0055 | 0.1255 | UPM4.0/LPM2.0 | −.0255 | −.0517 | −.0195 | 0.1045 |
(1.7757)* | (−1.2162) | (−0.0872) | (2.0240)* | (−0.4082) | (−0.8277) | (−0.3120) | (1.6817)* | ||
UPM .9/LPM2.0 | 0.0942 | −0.0668 | 0.0154 | 0.0731 | UPM6.0/LPM3.0 | −0.0277 | −0.0256 | −0.0133 | 0.0904 |
(1.5132) | (−1.0705) | (0.2462) | (1.1724) | (−0.4427) | (−0.4093) | (−0.2122) | (1.4520) | ||
UPM1.8/LPM4.0 | −0.0510 | −0.0630 | −0.0497 | 0.1036 | UPM8.0/LPM4.0 | 0.0362 | −0.0718 | 0.0002 | 0.1205 |
(−0.8176) | (−1.0105) | (−0.7963) | (1.6661)* | (0.5798) | (−1.1513) | (0.0033) | (1.9426)* |