# **Table 13 Momentum Statistics**

This table presents the average momentum statistics across PFAs and the percentage of PFAs that are momentum or contrarian traders at a ten-percent significance level. Three momentum statistics are presented: the Grinblatt et al. (1995) statistic, the Ferson & Khang (2002) statistic, and the Kaminsky et al. (2004) statistic. These statistics are calculated using contemporaneous and lagged prices, alternatively. T-tests are one-tailed. One asterisk indicates statistical significance at the ten-percent level and two asterisks indicate statistical significance at the five-percent level. Standard errors are presented in parenthesis. Numbers represent percentages because the averages and standard errors are multiplied by 100 in the case of the Kaminsky et al. measure (returns are in percentages) and by 10,000 in the case of the other measures (weights and returns are in percentages). In addition, t-tests are computed for each PFA and momentum statistic in order to calculate the percentage of PFAs that are momentum or contrarian traders at a ten-percent significance level.

||||Lagged Momentum Statistic|s|Cont|emporaneous Momentum S|tatistics|
|---|---|---|---|---|---|---|---|
|||L1M|LM1|M1|L0M|LM0|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**|Average Statistic|3.16**|3.89**|53.39**|22.0**|-4.77**|177.4**|
||<br>% Momentum Traders|37.50%|0.54%|0.50%|0.96%|0.13%|0.75%|
||% Contrarian Traders|0.00%|0.00%|0.04%|0.00%|0.04%|0.00%|
|**Domestic Assets**||||||||
|Former Pension System Bonds|Average Statistic|0.01|0.01|31.93**|0.08**|0.00|31.83**|
||% Momentum Traders|13.04%|0.22%|0.41%|0.61%|0.39%|0.39%|
||% Contrarian Traders|8.70%|0.17%|0.09%|0.00%|0.13%|0.04%|
|Corporate Bonds|Average Statistic|0.08|0.24**|0.83|1.03**|-0.02|-1.05|
||% Momentum Traders|0.00%|0.21%|0.17%|0.92%|0.04%|0.13%|
||% Contrarian Traders|16.67%|0.00%|0.04%|0.00%|0.21%|0.17%|
|Financial Institutions|Average Statistic|-0.00|-0.00|1.82**|0.39**|0.04|3.70**|
||% Momentum Traders|33.3%|0.2%|0.5%|0.7%|0.3%|0.5%|
||% Contrarian Traders|29.2%|0.3%|0.1%|0.1%|0.3%|0.1%|
|Government Paper|Average Statistic|0.22|0.76**|9.39**|5.35**|0.97**|14.72**|
||% Momentum Traders|16.67%|0.29%|0.38%|0.92%|0.50%|0.38%|
||% Contrarian Traders|29.17%|0.00%|0.00%|0.00%|0.04%|0.00%|
|Investment and Mutual Funds|Average Statistic|-0.05|-0.15*|-1.01*|0.30**|-0.00|-0.01|
||% Momentum Traders|29.17%|0.04%|0.05%|0.83%|0.00%|0.13%|
||% Contrarian Traders|0.00%|0.08%|0.05%|0.00%|0.04%|0.04%|
|Equity|Average Statistic|2.71**|2.44**|23.20**|10.3**|-6.81**|-13.8**|
||<br>% Momentum Traders|33.33%|0.21%|0.63%|0.88%|0.08%|0.00%|
||% Contrarian Traders|0.00%|0.00%|0.00%|0.00%|0.21%|0.33%|
|Mortgage Bonds|Average Statistic|-0.28**|0.07*|-19.8**|1.54**|0.42**|133.3**|
||<br>% Momentum Traders|0.00%|0.17%|0.00%|0.88%|0.71%|0.75%|
||% Contrarian Traders|58.33%|0.13%|0.29%|0.00%|0.00%|0.00%|
|**Foreign Assets**||||||||
|Fixed Income|Average Statistic|0.10**|0.14**|0.85|0.46**|-0.02|0.66|
||<br>Momentum Traders|16.67%|0.25%|0.25%|0.42%|0.17%|0.25%|
||Contrarian Traders|0.00%|0.00%|0.00%|0.00%|0.33%|0.25%|
|Investment and Mutual Funds|Average Statistic|0.69*|0.63*|10.35**|2.62**|0.86**|11.78**|
||<br>Momentum Traders|50.00%|0.55%|0.53%|0.90%|0.50%|0.42%|
||Contrarian Traders|5.00%|0.10%|0.00%|0.00%|0.10%|0.05%|
|Equity|Average Statistic|0.04**|0.04*|1.66*|0.15**|0.03*|-1.09|
||Momentum Traders|0.00%|0.10%|0.00%|0.60%|0.20%|0.00%|
||Contrarian Traders|0.00%|0.00%|0.00%|0.00%|0.00%|0.20%|