Parameters

January

Non-January

Parameter estimate

N

R² (Adj R²)

Parameter estimate

N

R² (Adj R²)

Panel A: A market is defined as bullish in the month if the index return was higher than the return of the preceding month

Panel A1: The firms with the lowest volatility (RISK1)

Intercept

−9.5985

644

0.0424

−9.0890^**

8756

0.0283

Size

0.6629

(0.0357)

0.4591^**

(0.0201)

Panel A2: The firms with RISK2

Intercept

−9.5710

661

0.0195

−7.0915^*

9011

0.0228

Size

0.9590

(0.0127)

0.3622

(0.0149)

Panel A3: The firms with RISK3

Intercept

−19.5927

642

0.0323

−4.1338

8957

0.0238

Size

1.7932^*

(0.0255)

0.2101

(0.0159)

Panel A4: The firms with RISK4

Intercept

−12.1543

632

0.0090

−2.3566

8847

0.0178

Size

1.3587

(0.0020)

0.0558

(0.0099)

Panel A5: The firms with the highest volatility (RISK5)

Intercept

11.0479

590

0.0092

6.1181

8389

0.0111

Size

−0.6765

(0.0017)

−0.5996^*

(0.0028)

Panel B: A market is defined as bearish in the month if the index return was lower than the return of the preceding month

Panel B1: The firms with the lowest volatility (RISK1)

Intercept

12.7491

990

0.0346

7.8110^**

9218

0.0239

Size

−0.7817

(0.0261)

−0.3438^**

(0.0160)

Panel B2: The firms with RISK2

Intercept

20.2523

1019

0.0534

10.3001^**

9469

0.0293

Size

−1.2925

(0.0453)

−0.5657^**

(0.0217)

Panel B3: The firms with RISK3

Intercept

15.9281

1027

0.0321

13.2938^**

9402

0.0275

Size

−1.1049

(0.0239)

−0.8656^**

(0.0198)

Panel B4: The firms with RISK4

Intercept

28.8828

1018

0.0401

13.1765^**

9303

0.0213

Size

−2.1690

(0.0320)

−0.8661^**

(0.0136)

Panel B5: The firms with the highest volatility (RISK5)

Intercept

25.0918

980

0.0369

20.8609^**

8881

0.0191

Size

−1.9707

(0.0285)

−1.4832^**

(0.0111)