| Parameters | January | Non-January | ||||
| Parameter estimate | N | R2 (Adj R2) | Parameter estimate | N | R2 (Adj R2) | |
| Panel A: The sub-sample in which the amount and growth rate of earnings before tax were both positive in the preceding year | ||||||
| Intercept | 12.2442 | 2940 | 0.1055 | 2.5808 | 32,340 | 0.0584 |
| Size | −0.7680 |
| (0.0709) | −0.1572 |
| (0.0038) |
| Panel B: The sub-sample in which the amount and growth rate of earnings before tax were not both positive in the preceding year | ||||||
| Intercept | 8.3725 | 3475 | 0.0511 | 4.9335 | 38,225 | 0.0451 |
| Size | −0.4587 |
| (0.0256) | −0.3948* |
| (0.0217) |