Variables

Coefficient

t statistic

p value

Panel A: January-December

Intercept

3.3401

2.27

0.0243**

Size

−0.4380

−2.45

0.0153**

Panel B: January

Intercept

−2.7060

−0.68

0.5079

Size

0.3794

0.75

0.4672

Panel C: Non-January

Intercept

3.8898

2.50

0.0136**

Size

−0.5120

−2.71

0.0074***