Begin Historic

1

January 1988

End Historic

109

January 1997

Begin Holding

110

February 1997

End Holding

133

January 1999

T-Tests in Parenthesis

Statistic

Mean Hist

Mean Hold

Urho Hist

Urho Hold

Mean Hist

Mean Hold

Urho Hist

Urho Hold

R/V

0.0652

0.0218

(1.1536)

(0.3858)

Jensen Alpha

0.0980

−0.0777

(1.7392)*

(−1.3773)

R/SV

−0.0021

0.0009

(−0.0370)

(0.0166)

R/B

0.0216

0.0514

(0.3819)

(0.9086)

RISK AVERSE

RISK NEUTRAL

UPM .3/LPM1.0

−0.0622

0.0695

−0.0016

−0.0974

UPM10.0/LPM10.0

−0.0177

−0.0764

0.0549

−0.0560

(−1.1003)

(1.2314)

(−0.0276)

(−1.7295)*

−0.3130)

(−10.3536)

(0.9705)

(−0.9915)

UPM .5/LPM2.0

−0.0487

0.0033

−0.0053

−0.0482

UPM20.0/LPM20.0

0.0019

−0.0244

0.0097

−0.0512

(−0.8620)

(0.0584)

(−0.0939)

(−0.8528)

(0.0329)

(−0.4311)

(0.1722)

(−0.9049)

UPM .8/LPM3.0

−0.0983

−0.0678

0.0096

−0.1018

UPM30.0/LPM30.0

−0.0200

−0.0454

0.0489

−0.0939

(−1.7453)*

(−1.1995)

(0.1690)

(−1.8080)*

(−0.3531)

(−0.8034)

(0.8651)

(−10.6652)*

UPM1.0/LPM4.0

−0.0297

0.0308

0.0271

−0.0983

UPM40.0/LPM40.0

0.0447

0.0497

0.0156

−0.0734

(−0.5250)

(0.5437)

(0.4786)

(−1.7439)*

(0.7909)

(0.8786)

(0.2761)

(−10.3003)

PROSPECT THEORY

RISK SEEKING

UPM .4/LPM1.0

0.0176

0.0347

0.0525

−0.1079

UPM20.0/LPM10.0

−0.0265

0.0861

0.0539

−0.1042

(0.3103)

(0.6136)

(0.9290)

(−1.9169)*

(−0.4690)

(10.5265)

(0.9528)

(−1.8503)*

UPM .9/LPM2.0

0.0105

0.0664

0.0448

−0.0711

UPM40.0/LPM20.0

0.0364

0.0308

0.0265

−0.1107

(0.1858)

(1.1755)

(0.7923)

(−1.2588)

(0.6429)

(0.5438)

(0.4691)

(−1.9667)*

UPM .9/LPM2.0

−0.0661

0.0574

−0.0044

−0.0660

UPM60.0/LPM30.0

−0.0085

0.0134

0.0181

−0.0957

(−1.1708)

(1.0158)

(−0.0784)

(−1.1691)

(−0.1495)

(0.2362)

(0.3192)

(−1.6980)*

UPM1.8/LPM4.0

−0.1522

0.0324

0.0273

−0.0902

UPM80.0/LPM40.0

0.0509

−0.0649

−0.0011

−0.0794

(−2.7207)***

(0.5726)

(0.4829)

(−1.6000)

(0.9008)

(−10.1492)

(−0.0187)

(−1.4068)