|This table presents the results of<br>on the fixed effects. We also p<br>corresponding to each PFA. T-t<br>presented in parentheses. The co<br>returns are in percentages).|the regressions of momentum<br>resent the proportion of PF<br>ests are one-tailed. One aster<br>efficients and standard errors|L<br>**Momen**<br>statistics at the PFA-ti<br>As that are momentum <br>isk indicates statistical<br>are multiplied by 100 i|agged Momentum Statisti<br>**Appendix T**<br>**tum Statistics on Ass**<br>me level on PFA and time<br> or contrarian traders at <br>significance at the ten-per<br>n the case of the Kaminsky|cs<br>**able 2**<br>**et Class Fixed Effect**<br>fixed effects. The table dis<br>a ten-percent significance<br>cent level and two asterisk<br>et al. measure (returns ar|Cont<br>**s**<br>plays the constant corres<br>level, according to the <br>s indicate statistical sign<br>e in percentages) and by|emporaneous Momentum St<br>ponding to the regression o<br> t-test of the sum of the co<br>ificance at the five-percent <br>10,000 in the case of the ot|atistics<br>f each momentum statistic<br>nstant and the coefficient<br> level. Standard errors are<br>her measures (weights and|
|---|---|---|---|---|---|---|---|
|||L1M<br>|LM1<br>|M1<br>|L0M<br>|LM0<br>|M0<br>|
|||Grinblatt et al.|Ferson and Khang|Kaminskyet al.|Grinblatt et al.|Ferson and Khang|Kaminskyet al.|
|||(1)|(2)|(3)|(4)|(5)|(6)|
|**All Asset Classes**|Constant|3.99**|4.72**|76.42**|23.1**|-2.62**|286.94**|
||Standard Error|(0.94)|(0.94)|(21.72)|(0.83)|(0.95)|(44.57)|
||% Momentum Traders|50.00%|79.17%|58.33%|100.00%|4.17%|91.67%|
||% Contrarian Traders|0.00%|0.00%|0.00%|0.00%|45.83%|0.00%|
|**Domestic Assets**||||||||
|Former Pension System Bonds|Constant|-0.00|-0.00|34.53|0.09**|-0.02|45.26**|
||Standard Error|(0.02)|(0.02)|(22.83)|(0.02)|(0.01)|(22.87)|
||% Momentum Traders<br>% Contrarian Traders|17.39%<br>13.04%|21.74%<br>17.39%|17.39%<br>0.00%|78.26%<br>0.00%|21.74%<br>21.74%|30.43%<br>0.00%|
|Corporate Bonds|Constant|0.04|0.21**|0.99|0.88**|-0.03|0.40|
||Standard Error|(0.12)|(0.10)|(1.33)|(0.06)|(0.04)|(1.52)|
||% Momentum Traders|4.17%|29.17%|16.67%|87.50%|4.17%|8.33%|
||% Contrarian Traders|20.83%|0.00%|0.00%|4.17%|16.67%|8.33%|
|Financial Institutions|Constant|0.09|0.12|4.48**|0.49**|0.14**|5.60**|
||Standard Error|(008)|(007)|(124)|(007)|(007)|(124)|
||<br>% Momentum Traders|.<br>29.17%|.<br>33.33%|.<br>50.00%|.<br>62.50%|.<br>37.50%|.<br>50.00%|
||% Contrarian Traders<br>|20.83%<br>|20.83%<br>|4.17%<br>|4.17%<br>|25.00%<br>|12.50%<br>|
|Government Paper|Constant|0.49|0.87**|15.35**|4.77**|0.94**|29.39**|
||Standard Error|(0.40)|(0.40)|(4.35)|(0.35)|(0.29)|(6.022)|
||% Momentum Traders|16.67%|29.17%|54.17%|100.00%|54.17%|75.00%|
||% Cntrrin Trdr|2083%|000%|417%|000%|833%|417%|
|Investment and Mutual Funds|oaa aes<br>Constant|.<br>-0.11|.<br>-0.21*|.<br>-0.99|.<br>0.33**|.<br>0.00|.<br>-0.07|
||Standard Error|(0.12)|(0.12)|(1.08)|(0.02)|(0.01)|(0.22)|
||% Momentum Traders|20.83%|4.17%|0.00%|100.00%|4.17%|12.50%|
||% Contrarian Traders|4.17%|29.17%|4.17%|0.00%|0.00%|4.17%|
|Equity|Constant|3.00**|2.79**|26.32**|9.33**|-4.92**|-9.98**|
||Standard Error|(0.76)|(0.76)|(2.93)|(0.69)|(0.84)|(3.62)|
||% Momentum Traders|5000%|4167%|8750%|8750%|000%|000%|
||<br>% Contrarian Traders|.<br>0.00%|.<br>0.00%|.<br>0.00%|.<br>0.00%|.<br>87.50%|.<br>41.67%|
|Mortgage Bonds|Constant|-027**|005|-1742|141**|036**|20324**|
||Standard Error|.<br>(0.10)|.<br>(0.10)|.<br>(14.13)|.<br>(0.09)|.<br>(0.10)|.<br>(23.14)|
||% Momentum Traders|417%|1250%|000%|9167%|6667%|10000%|
||<br>% Contrarian Traders|.<br>54.17%|.<br>8.33%|.<br>33.33%|.<br>0.00%|.<br>4.17%|.<br>0.00%|
|**Foreign Assets**||||||||
|Fixed Income|Constant|0.10|0.14|1.39*|0.49**|-0.01|1.49*|
||Standard Error|(0.12)|(0.12)|(0.76)|(0.16)|(0.16)|(0.90)|
||% Momentum Traders<br>|8.33%<br>|16.67%<br>|25.00%<br>|66.67%<br>|16.67%<br>|33.33%<br>|
|Investment and Mutual Funds|% Contrarian Traders<br>Constant|0.00%<br>0.76**|0.00%<br>0.70**|0.00%<br>13.41**|0.00%<br>3.67**|25.00%<br>1.00**|8.33%<br>15.65**|
||Standard Error<br>% Momentum Traders|(0.25)<br>7000%|(0.25)<br>7000%|(2.74)<br>7000%|(0.21)<br>9000%|(0.23)<br>8000%|(3.15)<br>8000%|
||<br>% Contrarian Traders|.<br>5.00%|.<br>5.00%|.<br>0.00%|.<br>0.00%|.<br>5.00%|.<br>10.00%|
|Equity|Constant|003|003|147|019**|009**|085|
||Standard Error|.<br>(0.04)|.<br>(0.05)|.<br>(4.22)|.<br>(0.05)|.<br>(0.04)|.<br>(4.16)|
||% Momentum Traders|1000%|1000%|4000%|7000%|4000%|1000%|
||<br>% Contrarian Traders|.<br>10.00%|.<br>10.00%|.<br>20.00%|.<br>0.00%|.<br>0.00%|.<br>10.00%|