|Lagged Momentum<br>Contemporaneous<br>**Appendix Table 3**<br>**Momentum Statistics (Using Weights With Lagged Price)**<br>This table presents the average across PFAs of the Grinblatt et al. (1995) momentum statistic and the percentage of PFAs<br>that are momentum or contrarian traders at a ten-percent significance level. The statistic is calculated using weights with<br>the lagged price. T-tests are one-tailed. One asterisk indicates statistical significance at the ten-percent level and two<br>asterisks indicate statistical significance at the five-percent level. Standard errors are presented in parentheses. The<br>averages and standard errors are multiplied by 100 in the case of the Kaminsky et al. measure (returns are in<br>percentages) and by 10,000 in the case of the other measures (weights and returns are in percentages). In addition, t-tests<br>are computed for each PFA and momentum statistic in order to calculate the percentage of PFAs that are momentum or<br>contrarian traders at a ten-percent significance level.|
|---|
|<br>Statistic<br> <br>Momentum Statistic<br><br>|
|L1M<br>L0M<br>Grinblatt et al<br>Grinblatt et al|
|.<br>.<br>(1)<br>(2)|
|**All Asset Classes**<br>Average Statistic<br>9.03**<br>-57.89**|
|Standard Error<br>(0.01)<br>(0.13)|
|% Momentum Traders<br>0.58%<br>0.04%|
|% Contrarian Traders<br>0.00%<br>0.04%|
|**Domestic Assets**|
|Former Pension System Bonds<br>Average Statistic<br>0.12**<br>0.11**|
|Standard Error<br>(0.00)<br>(0.00)|
|% Momentum Traders<br>048%<br>057%|
|<br>.<br>.<br>% Contrarian Traders<br>0.04%<br>0.00%|
|Corporate Bonds<br>Average Statistic<br>0.18<br>-0.06<br> <br><br>|
|Standard Error<br>(0.00)<br>(0.00)<br>% Momentum Traders<br>0.04%<br>0.04%<br> <br><br>|
|% Contrarian Traders<br>0.00%<br>0.21%|
|Financial Institutions<br>Average Statistic<br>0.16**<br>0.28**<br>Stdd E<br>000<br>000|
|anar rror<br>(.)<br>(.)<br>% Momentum Traders<br>0.50%<br>0.58%|
|% Contrarian Traders<br>008%<br>017%|
|<br>.<br>.<br>Government Paper<br>Average Statistic<br>0.41<br>0.70**<br>Standard Error<br>(000)<br>(000)|
|<br>.<br>.<br>% Momentum Traders<br>0.13%<br>0.25%|
|% Contrarian Traders<br>0.17%<br>0.08%|
|Investment and Mutual Funds<br>Average Statistic<br>-0.22**<br>0.04**<br>Standard Error<br>(0.00)<br>(0.00)|
|% Momentum Traders<br>0.17%<br>0.38%|
|% Contrarian Traders<br>0.00%<br>0.00%|
|Equity<br>Average Statistic<br>7.79**<br>-59.3**<br>Standard Error<br>(0.01)<br>(0.13)|
|% Momentum Traders<br>0.42%<br>0.04%<br> <br><br>|
|% Contrarian Traders<br>0.00%<br>0.08%|
|Mortgage Bonds<br>Average Statistic<br>-0.17**<br>0.40**<br>Standard Error<br>(0.00)<br>(0.00)|
|% Momentum Traders<br>0.13%<br>0.50%|
|% Contrarian Traders<br>0.38%<br>0.00%|
|**Forein Assets**|
|**g **<br>Fixed Income<br>Average Statistic<br>0.17**<br>0.03|
|Standard Error<br>(000)<br>(000)|
|<br>.<br>.<br>% Momentum Traders<br>0.25%<br>0.25%|
|% Contrarian Traders<br>000%<br>017%|
|<br>.<br>.<br>Investment and Mutual Funds<br>Average Statistic<br>0.85**<br>0.00|
|Standard Error<br>(0.00)<br>(0.00)|
|% Momentum Traders<br>0.55%<br>0.25%|
|% Contrarian Traders<br>0.05%<br>0.00%|
|Equity<br>Average Statistic<br>0.04**<br>0.01|
|Standard Error<br>(0.00)<br>(0.00)<br>% Mt Td<br>010%<br>010%|
|omenum raers<br>.<br>.<br>% Contrarian Traders<br>0.00%<br>0.00%|