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 | ||||||
Panel A1: The firms with the lowest volatility (RISK1) | ||||||
Intercept | −9.5985 | 644 | 0.0424 | −9.0890** | 8756 | 0.0283 |
Size | 0.6629 |
| (0.0357) | 0.4591** |
| (0.0201) |
Panel A2: The firms with RISK2 | ||||||
Intercept | −9.5710 | 661 | 0.0195 | −7.0915* | 9011 | 0.0228 |
Size | 0.9590 |
| (0.0127) | 0.3622 |
| (0.0149) |
Panel A3: The firms with RISK3 | ||||||
Intercept | −19.5927 | 642 | 0.0323 | −4.1338 | 8957 | 0.0238 |
Size | 1.7932* |
| (0.0255) | 0.2101 |
| (0.0159) |
Panel A4: The firms with RISK4 | ||||||
Intercept | −12.1543 | 632 | 0.0090 | −2.3566 | 8847 | 0.0178 |
Size | 1.3587 |
| (0.0020) | 0.0558 |
| (0.0099) |
Panel A5: The firms with the highest volatility (RISK5) | ||||||
Intercept | 11.0479 | 590 | 0.0092 | 6.1181 | 8389 | 0.0111 |
Size | −0.6765 |
| (0.0017) | −0.5996* |
| (0.0028) |
Panel B: A market is defined as bearish in the month if the index return was lower than the return of the preceding month | ||||||
Panel B1: The firms with the lowest volatility (RISK1) | ||||||
Intercept | 12.7491 | 990 | 0.0346 | 7.8110** | 9218 | 0.0239 |
Size | −0.7817 |
| (0.0261) | −0.3438** |
| (0.0160) |
Panel B2: The firms with RISK2 | ||||||
Intercept | 20.2523 | 1019 | 0.0534 | 10.3001** | 9469 | 0.0293 |
Size | −1.2925 |
| (0.0453) | −0.5657** |
| (0.0217) |
Panel B3: The firms with RISK3 | ||||||
Intercept | 15.9281 | 1027 | 0.0321 | 13.2938** | 9402 | 0.0275 |
Size | −1.1049 |
| (0.0239) | −0.8656** |
| (0.0198) |
Panel B4: The firms with RISK4 | ||||||
Intercept | 28.8828 | 1018 | 0.0401 | 13.1765** | 9303 | 0.0213 |
Size | −2.1690 |
| (0.0320) | −0.8661** |
| (0.0136) |
Panel B5: The firms with the highest volatility (RISK5) | ||||||
Intercept | 25.0918 | 980 | 0.0369 | 20.8609** | 8881 | 0.0191 |
Size | −1.9707 |
| (0.0285) | −1.4832** |
| (0.0111) |