Parameters | January | Non-January | ||||

Parameter estimate | N | R | Parameter estimate | N | R | |

Panel A1: A market is defined as bullish in the month if the index return was higher than the median return of the sample period | ||||||

Intercept | −5.6075 | 3011 | 0.0150 | −1.3072 | 52,744 | 0.0139 |

Size | 0.4712 |
| (0.0136) | 0.0317 |
| (0.0123) |

Panel A2: A market is defined as bearish in the month if the index return was lower than the median return of the sample month | ||||||

Intercept | 17.7047 | 5192 | 0.0328 | 10.1017 | 37,489 | 0.0167 |

Size | −1.1374 |
| (0.0312) | −0.6150 |
| (0.0151) |

Panel B1: A market is defined as bullish in the month if the index return was higher than the median return in the same year | ||||||

Intercept | −5.6075 | 3011 | 0.0150 | −0.7111 | 50,764 | 0.0137 |

Size | 0.4712 |
| (0.0136) | −0.0036 |
| (0.0121) |

Panel B2: A market is defined as bearish in the month if the index return was lower than the median return in the same year | ||||||

Intercept | 17.7047 | 5192 | 0.0328 | 9.1445 | 39,469 | 0.0169 |

Size | −1.1374 |
| (0.0312) | −0.5587 |
| (0.0153) |

Panel C1: A market is defined as bullish in the month if the index return was positive | ||||||

Intercept | −5.6075 | 3011 | 0.0150 | −0.7795 | 55,970 | 0.0132 |

Size | 0.4712 |
| (0.0136) | 0.0028 |
| (0.0116) |

Panel C2: A market is defined as bearish in the month if the index return was negative | ||||||

Intercept | 17.7047 | 5192 | 0.0328 | 10.6058 | 34,263 | 0.0182 |

Size | −1.1374 |
| (0.0312) | −0.6451 |
| (0.0166) |