Variables | January | Non-January | ||||
Coefficient | t statistic | p value | Coefficient | t statistic | p value | |
Panel A: The risk sub-portfolio with RISK1 | ||||||
Intercept | 0.0012 | 0.00 | 0.9994 | 0.2823 | 0.36 | 0.7168 |
Size | −0.2928 | −1.36 | 0.2009 | −0.3452 | −3.72 | 0.0003*** |
Panel B: The risk sub-portfolio with RISK2 | ||||||
Intercept | 0.6784 | 0.35 | 0.7310 | 0.0595 | 0.08 | 0.9383 |
Size | −0.3026 | −1.57 | 0.1457 | −0.2973 | −3.31 | 0.0012*** |
Panel C: The risk sub-portfolio with RISK3 | ||||||
Intercept | −0.7672 | −0.50 | 0.6247 | 0.7100 | 0.89 | 0.3744 |
Size | −0.1007 | −0.36 | 0.7272 | −0.3914 | −4.15 | 0.0001*** |
Panel D: The risk sub-portfolio with RISK4 | ||||||
Intercept | −1.4953 | −0.69 | 0.5060 | 0.0508 | 0.06 | 0.9486 |
Size | 0.0380 | 0.14 | 0.8890 | −0.2843 | −3.01 | 0.0030*** |
Panel E: The risk sub-portfolio with RISK5 | ||||||
Intercept | 2.0148 | 0.42 | 0.6851 | 0.5438 | 0.67 | 0.5013 |
Size | −0.3881 | −0.80 | 0.4398 | −0.3695 | −3.87 | 0.0002*** |