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*** |