| Parameters | Parameter estimate | N | R2 (Adj R2) |
| Panel A: January-December | |||
| Intercept | 4.1456* | 98,436 | 0.0161 |
| Size | −0.2770* |
| (0.0145) |
| Panel B: January | |||
| Intercept | 9.9340 | 8203 | 0.0269 |
| Size | −0.6012 |
| (0.0253) |
| Panel C: Non-January | |||
| Intercept | 3.6194 | 90,233 | 0.0151 |
| Size | −0.2475* |
| (0.0135) |