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They do not.
There is no advantage or disadvantage, SEO-wise, to using mouseover code, except that sometimes it bulks up your code so that spiders/bots don't get all the way through your page...at least for spider/bots that only scan, say, the first 5000 characters or something.
BTW, your code should lose the first onmouseover parameter, leaving only the second one. The first does nothing but slow the browser down as it discards it in favor of the second one. (And you don't need to escape the quotes around the window.status value, in this case.)
i.e.
<a onMouseOver='window.status="KEYWORD";return true' href='URL'>