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***