Begin Historic

1

January 1988

End Historic

121

January 1998

Begin Holding

122

February 1998

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

0.0668

0.0258

(1.1821)

(0.4559)

Jensen Alpha

0.0141

0.0252

(0.2489)

(0.4461)

R/SV

0.0358

0.0400

(0.6321)

(0.7070)

R/B

0.0932

−0.0118

(1.6538)*

(−0.2076)

RISK AVERSE

RISK NEUTRAL

UPM .3/LPM1.0

−0.0058

0.1098

0.0211

−0.0635

UPM1.0/LPM1.0

−0.0351

−0.0124

0.0523

−0.0746

(−0.1031)

(1.9519)*

(0.3734)

(−1.1237)

(−0.6212)

(−0.2197)

(0.9249)

(−1.3219)

UPM .5/LPM2.0

−0.0955

0.0668

−0.0539

−0.1011

UPM2.0/LPM2.0

0.0220

0.0227

0.0329

−0.0807

(−1.6953)*

(1.1823)

(−0.9537)

(−1.7945)*

(0.3891)

(0.4004)

(0.5816)

(−1.4308)

UPM .8/LPM3.0

−0.0310

−0.0436

−0.0437

−0.0776

UPM3.0/LPM3.0

0.0721

0.0916

−0.0110

−0.0637

(−0.5485)

(−0.7711)

(−0.7732)

(−1.3741)

(1.2764)

(1.6243)

(−0.1950)

(−1.1278)

UPM1.0/LPM4.0

−0.0279

0.0085

0.0184

−0.0720

UPM4.0/LPM4.0

0.0026

0.0954

0.0056

−0.0842

(−0.4922)

(0.1506)

(0.3253)

(−1.2752)

(0.0452)

(1.6924)*

(0.0998)

(−1.4933)

PROSPECT THEORY

RISK SEEKING

UPM .4/LPM1.0

0.0029

0.0521

0.0131

−0.0911

UPM2.0/LPM1.0

−0.0238

−0.0316

−0.0041

−0.0730

(0.0521)

(0.9215)

(0.2309)

(−1.6161)

(−0.4201)

(−0.5587)

(−0.0718)

(1.2921)

UPM .9/LPM2.0

0.0356

−0.1113

0.0228

−0.0863

UPM4.0/LPM2.0

−0.0057

0.1209

−0.0092

−0.0803

(0.6287)

(−1.9784)*

(0.4032)

(−1.5309)

(−0.1009)

(2.1516)**

(−0.1622)

(−1.4234)

UPM .9/LPM2.0

0.0303

0.0714

0.0127

−0.0738

UPM6.0/LPM3.0

−0.0676

−0.0165

−0.0429

−0.0679

(0.5356)

(1.2637)

(0.2252)

(−1.3073)

(−1.1969)

(−0.2919)

(−0.7577)

(−1.2021)

UPM1.8/LPM4.0

0.0749

−0.0055

0.0173

−0.0950

UPM8.0/LPM4.0

0.0029

0.0412

−0.0318

−0.1002

(1.3272)

(−0.0968)

(0.3054)

(−1.6852)*

(0.0518)

(0.7276)

(−.5615)

(−10.7796)*