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)* |