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)***