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