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)***