Variables | January | Non-January | ||||
Coefficient | t statistic | p value | Coefficient | t statistic | p value | |
Panel A: The bullish market | ||||||
Intercept | −0.2412 | −0.04 | 0.9729 | 5.3439 | 2.02 | 0.0471** |
Size | 0.1693 | 0.19 | 0.8573 | −0.6793 | −2.04 | 0.0445** |
Panel B: The bearish market | ||||||
Intercept | −5.1709 | −1.16 | 0.2916 | 0.9107 | 0.51 | 0.6093 |
Size | 0.5895 | 1.11 | 0.3111 | −0.1285 | −0.59 | 0.5544 |