Begin Historic | 1 | January 1988 | |||||||
End Historic | 109 | January 1997 | |||||||
Begin Holding | 110 | February 1997 | |||||||
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 | 0.0652 | 0.0218 | |||||||
(1.1536) | (0.3858) | ||||||||
Jensen Alpha | 0.0980 | −0.0777 | |||||||
(1.7392)* | (−1.3773) | ||||||||
R/SV | −0.0021 | 0.0009 | |||||||
(−0.0370) | (0.0166) | ||||||||
R/B | 0.0216 | 0.0514 | |||||||
(0.3819) | (0.9086) | ||||||||
RISK AVERSE | RISK NEUTRAL | ||||||||
UPM .3/LPM1.0 | −0.0622 | 0.0695 | −0.0016 | −0.0974 | UPM10.0/LPM10.0 | −0.0177 | −0.0764 | 0.0549 | −0.0560 |
(−1.1003) | (1.2314) | (−0.0276) | (−1.7295)* | −0.3130) | (−10.3536) | (0.9705) | (−0.9915) | ||
UPM .5/LPM2.0 | −0.0487 | 0.0033 | −0.0053 | −0.0482 | UPM20.0/LPM20.0 | 0.0019 | −0.0244 | 0.0097 | −0.0512 |
(−0.8620) | (0.0584) | (−0.0939) | (−0.8528) | (0.0329) | (−0.4311) | (0.1722) | (−0.9049) | ||
UPM .8/LPM3.0 | −0.0983 | −0.0678 | 0.0096 | −0.1018 | UPM30.0/LPM30.0 | −0.0200 | −0.0454 | 0.0489 | −0.0939 |
(−1.7453)* | (−1.1995) | (0.1690) | (−1.8080)* | (−0.3531) | (−0.8034) | (0.8651) | (−10.6652)* | ||
UPM1.0/LPM4.0 | −0.0297 | 0.0308 | 0.0271 | −0.0983 | UPM40.0/LPM40.0 | 0.0447 | 0.0497 | 0.0156 | −0.0734 |
(−0.5250) | (0.5437) | (0.4786) | (−1.7439)* | (0.7909) | (0.8786) | (0.2761) | (−10.3003) | ||
PROSPECT THEORY | RISK SEEKING | ||||||||
UPM .4/LPM1.0 | 0.0176 | 0.0347 | 0.0525 | −0.1079 | UPM20.0/LPM10.0 | −0.0265 | 0.0861 | 0.0539 | −0.1042 |
(0.3103) | (0.6136) | (0.9290) | (−1.9169)* | (−0.4690) | (10.5265) | (0.9528) | (−1.8503)* | ||
UPM .9/LPM2.0 | 0.0105 | 0.0664 | 0.0448 | −0.0711 | UPM40.0/LPM20.0 | 0.0364 | 0.0308 | 0.0265 | −0.1107 |
(0.1858) | (1.1755) | (0.7923) | (−1.2588) | (0.6429) | (0.5438) | (0.4691) | (−1.9667)* | ||
UPM .9/LPM2.0 | −0.0661 | 0.0574 | −0.0044 | −0.0660 | UPM60.0/LPM30.0 | −0.0085 | 0.0134 | 0.0181 | −0.0957 |
(−1.1708) | (1.0158) | (−0.0784) | (−1.1691) | (−0.1495) | (0.2362) | (0.3192) | (−1.6980)* | ||
UPM1.8/LPM4.0 | −0.1522 | 0.0324 | 0.0273 | −0.0902 | UPM80.0/LPM40.0 | 0.0509 | −0.0649 | −0.0011 | −0.0794 |
(−2.7207)*** | (0.5726) | (0.4829) | (−1.6000) | (0.9008) | (−10.1492) | (−0.0187) | (−1.4068) |