Begin Historic | 1 | January 1998 | |||||||
End Historic | 109 | January 2007 | |||||||
Begin Holding | 110 | February 2007 | |||||||
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 | 0.1072 | 0.0666 | |||||||
(1.8391)* | (1.1379) | ||||||||
Jensen Alpha | −0.0199 | −0.0292 | |||||||
(−0.3400) | (−0.4983) | ||||||||
R/SV | 0.1689 | 0.0269 | |||||||
(2.9232)*** | (0.4591) | ||||||||
R/B | −0.0515 | −0.0440 | |||||||
(−0.8799) | (−0.7508) | ||||||||
RISK AVERSE | RISK NEUTRAL | ||||||||
UPM .3/LPM1.0 | 0.0252 | −0.0140 | −0.0148 | 0.1989 | UPM1.0/LPM1.0 | 0.0212 | 0.0539 | −0.0181 | 0.1574 |
(0.4303) | (−0.2383) | (−0.2527) | (3.4613)*** | (0.3618) | (0.9213) | (−0.3087) | (2.7194)*** | ||
UPM .5/LPM2.0 | −0.0395 | −0.0020 | −0.0690 | 0.1606 | UPM2.0/LPM2.0 | 0.0553 | 0.0650 | −0.0326 | 0.1542 |
(−0.6752) | (−0.0333) | (−1.1805) | (2.7749)*** | (0.9440) | (1.1120) | (−0.5563) | (2.6621)*** | ||
UPM .8/LPM3.0 | 0.0337 | −0.0660 | −0.0289 | 0.1638 | UPM3.0/LPM3.0 | 0.1591 | −0.0154 | −0.0501 | 0.1814 |
(0.5752) | (−1.1288) | (−0.4939) | (2.8319)*** | (2.7486)*** | (−0.2630) | (−0.8565) | (3.1471)*** | ||
UPM1.0/LPM4.0 | 0.0285 | −0.0336 | −0.0535 | 0.1556 | UPM4.0/LPM4.0 | 0.1512 | 0.0833 | −0.0527 | 0.1805 |
(0.4866) | (−0.5729) | (−0.9138) | (2.6871)*** | (2.6087)*** | (1.4266) | (−0.9008) | (3.1314)*** | ||
PROSPECT THEORY | RISK SEEKING | ||||||||
UPM .4/LPM1.0 | −0.0117 | 0.0482 | −0.0170 | 0.1930 | UPM2.0/LPM1.0 | 0.0755 | −0.0418 | 0.0120 | 0.1890 |
(−0.1988) | (0.8236) | (−0.2905) | (3.3558)*** | (1.2919) | (−0.7139) | (0.2041) | (3.2827)*** | ||
UPM .9/LPM2.0 | 0.0436 | 0.0721 | −0.0309 | 0.1867 | UPM4.0/LPM2.0 | 0.1081 | 0.0121 | −0.0676 | 0.1549 |
(0.7441) | (1.2331) | (−0.5269) | (3.2413)*** | (1.8546)* | (0.2057) | (−1.1554) | (2.6747)*** | ||
UPM .9/LPM2.0 | −0.0140 | −0.0620 | 0.0042 | 0.1158 | UPM6.0/LPM3.0 | −0.0440 | −0.0329 | −0.0087 | 0.1626 |
(−0.2390) | (−1.0599) | (0.0715) | (1.9891)** | (−0.7520) | (−0.5612) | (−0.1488) | (2.8104)*** | ||
UPM1.8/LPM4.0 | −0.0748 | 0.0409 | −0.0164 | 0.1972 | UPM8.0/LPM4.0 | 0.1061 | −0.0160 | −0.0296 | 0.1755 |
(−1.2802) | (0.6979) | (−0.2798) | (3.4305)*** | (1.8205)* | (−0.2723) | (−0.5052) | (3.0418)*** |