Begin Historic | 1 | January 1998 | |||||||
End Historic | 121 | January 2008 | |||||||
Begin Holding | 122 | February 2008 | |||||||
End Holding | 133 | January 2009 | |||||||
T-Tests in Parenthesis | |||||||||
Statistic | Mean Hist | Mean Hold | Urho Hist | Urho Hold | Mean Hist | Mean Hold | Urho Hist | Urho Hold | |
R/V | 0.0659 | −0.0128 | |||||||
(1.1272) | (−0.2175) | ||||||||
Jensen Alpha | 0.0793 | −0.0605 | |||||||
(1.3565) | (−1.0346) | ||||||||
R/SV | 0.0609 | −0.0389 | |||||||
(1.0402) | (−0.6642) | ||||||||
R/B | 0.1019 | 0.0342 | |||||||
(1.7482)* | (0.5834) | ||||||||
RISK AVERSE | RISK NEUTRAL | ||||||||
UPM .3/LPM1.0 | 0.0293 | 0.0133 | 0.0043 | 0.1680 | UPM1.0/LPM1.0 | −0.0419 | −0.0542 | −0.0025 | 0.1904 |
(0.5002) | (0.2269) | (0.0737) | (2.9069)*** | (−0.7149) | (−0.9259) | (−0.0433) | (3.3088)*** | ||
UPM .5/LPM2.0 | −0.0949 | −0.0543 | 0.0060 | 0.1615 | UPM2.0/LPM2.0 | −0.0282 | −0.1317 | 0.0025 | 0.1783 |
(−1.6256) | (−0.9283) | (0.1024) | (2.7918)*** | (−0.4805) | (−20.2671)** | (0.0419) | (3.0917)*** | ||
UPM .8/LPM3.0 | −0.0437 | 0.0063 | 0.0078 | 0.1343 | UPM3.0/LPM3.0 | 0.0080 | −0.0797 | −0.0194 | 0.1812 |
(−0.7467) | (0.1067) | (0.1336) | (2.3111)** | (0.1371) | (−10.3637) | (−0.3312) | (3.1422)*** | ||
UPM1.0/LPM4.0 | −0.0402 | −0.1010 | 0.0249 | 0.1342 | UPM4.0/LPM4.0 | 0.1134 | 0.0749 | −0.0318 | 0.1721 |
(−0.6857) | (−1.7314)* | (0.4243) | (2.3107)** | (1.9472)* | (1.2820) | (−0.5420) | (2.9812)*** | ||
PROSPECT THEORY | RISK SEEKING | ||||||||
UPM .4/LPM1.0 | −0.0345 | −0.0575 | 0.0154 | 0.1694 | UPM2.0/LPM1.0 | 0.1219 | −0.1407 | −0.0192 | 0.1714 |
(−0.5892) | (−0.9825) | (0.2633) | (2.9327)*** | (2.0949)** | (−2.4249)** | (−0.3281) | (2.9679)*** | ||
UPM .9/LPM2.0 | 0.0758 | 0.0414 | 0.0132 | 0.1630 | UPM4.0/LPM2.0 | 0.0489 | −0.0700 | 0.0338 | 0.1659 |
(1.2962) | (0.7063) | (0.2248) | (2.8183)*** | (0.8348) | (−10.1964) | (0.5774) | (2.8690)*** | ||
UPM .9/LPM2.0 | −0.0759 | 0.1291 | 0.0263 | 0.1422 | UPM6.0/LPM3.0 | −0.0714 | −0.1033 | −0.0081 | 0.1560 |
(−1.2985) | (2.2209)** | (0.4484) | (2.4514)** | (−1.2211) | (−1.7711)* | (−0.1389) | (2.6941)*** | ||
UPM1.8/LPM4.0 | 0.0122 | −0.1569 | 0.0021 | 0.1572 | UPM8.0/LPM4.0 | −0.0088 | −0.0011 | 0.0095 | 0.1885 |
(0.2083) | (−2.7096)** | (0.0361) | (2.7148)*** | (−0.1493) | (−0.0184) | (0.1615) | (3.2747)*** |