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)***