Begin Historic | 1 | January 1978 | |||||||
End Historic | 109 | January 1987 | |||||||
Begin Holding | 110 | February 1987 | |||||||
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 | 0.0776 | 0.0322 | |||||||
(1.2453) | (0.5152) | ||||||||
Jensen Alpha | −0.0480 | 0.0240 | |||||||
(−0.7689) | (0.3835) | ||||||||
R/SV | 0.0340 | −0.0689 | |||||||
(0.5443) | (−1.1058) | ||||||||
R/B | −0.1145 | 0.0628 | |||||||
(−1.8436)* | (1.0073) | ||||||||
RISK AVERSE | RISK NEUTRAL | ||||||||
UPM0.3/LPM1.0 | 0.0295 | −0.0521 | −0.0794 | 0.1761 | UPM1.0/LPM1.0 | −0.0492 | −0.0485 | −0.0825 | 0.1930 |
(0.4717) | (−0.8350) | (−1.2749) | (2.8619)*** | (−0.7881) | (−0.7776) | (−1.3250) | (3.1469)*** | ||
UPM .5/LPM2.0 | −0.0310 | −0.0475 | −0.0430 | 0.2161 | UPM2.0/LPM2.0 | −0.0438 | −0.0759 | −0.0595 | 0.2120 |
(−0.4970) | (−0.7611) | (−0.6892) | (3.5412)*** | (−0.7016) | (−1.2184) | (−0.9533) | (3.4700)*** | ||
UPM .8/LPM3.0 | −0.0300 | −0.0598 | −0.0419 | 0.2097 | UPM3.0/LPM3.0 | 0.0495 | −0.0977 | −0.0783 | 0.2245 |
(−0.4809) | (−0.9580) | (−0.6708) | (3.4319)*** | (0.7927) | (−1.5707) | (−1.2567) | (3.6866)*** | ||
UPM1.0/LPM4.0 | −0.0155 | −0.1627 | −0.1110 | 0.2007 | UPM4.0/LPM4.0 | −0.0586 | −0.0460 | −0.0918 | 0.2669 |
(−0.2486) | (−2.6388)*** | (−1.7865) | (3.2779)*** | (−0.9388) | (−0.7364) | (−1.4747) | (4.4312)*** | ||
PROSPECT THEORY | RISK SEEKING | ||||||||
UPM .4/LPM1.0 | 0.0117 | −0.0890 | −0.0730 | 0.1749 | UPM2.0/LPM1.0 | 0.0607 | −0.1142 | −0.0616 | 0.2524 |
(0.1865) | (−1.4303) | (−1.1707) | (2.8428)*** | (0.9732) | (−1.8392)* | (−0.9881) | (4.1742)*** | ||
UPM .9/LPM2.0 | −0.0637 | −0.0540 | −0.0975 | 0.2373 | UPM4.0/LPM2.0 | 0.1186 | −0.0143 | −0.0644 | 0.1669 |
(−1.0207) | (−0.8651) | (−1.5681) | (3.9079)*** | (1.9105)* | (−0.2290) | (−1.0329) | (2.7084)*** | ||
UPM .9/LPM2.0 | 0.0664 | 0.0390 | −0.0816 | 0.2314 | UPM6.0/LPM3.0 | 0.0007 | −0.0183 | −0.0695 | 0.2141 |
(1.0652) | (0.6239) | (−1.3094) | (3.8053)*** | (0.0105) | (−0.2928) | (−1.1153) | (3.5068)*** | ||
UPM1.8/LPM4.0 | 0.0197 | −0.0255 | −0.0619 | 0.2331 | UPM8.0/LPM4.0 | 0.0703 | −0.0719 | −0.0838 | 0.1979 |
(0.3150) | (−0.4082) | (−0.9926) | (3.8360)*** | (1.1268) | (−1.1538) | (−1.3448) | (3.2303)*** |