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)*