Parameters

January

Non-January

Parameter estimate

N

R2 (Adj R2)

Parameter estimate

N

R2 (Adj R2)

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)