| Parameters | January | Non-January | ||||
| Parameter estimate | N | R2 (Adj R2) | Parameter estimate | N | R2 (Adj R2) | |
| Panel A: A market is defined as bullish in the month if the index return was higher than the return of the preceding month | ||||||
| Intercept | −1.1753 | 3169 | 0.0107 | −3.5574 | 43,960 | 0.0136 |
| Size | 0.3181 |
| (0.0093) | 0.1386 |
| (0.0120) |
| Panel B: A market is defined as bearish in the month if the index return was lower than the return of the preceding month | ||||||
| Intercept | 15.4886 | 5034 | 0.0350 | 10.5819** | 46,273 | 0.0166 |
| Size | −1.0609 |
| (0.0334) | −0.6222** |
| (0.0150) |